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Items for "fractional Ornstein-Uhlenbeck type process"

Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion

Consider a linear stochastic differential equation

With time delay driven by a fractional Brownian motion ...

Keywords: Linear stochastic differential equation, time delay, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, consistency, local asymptotic normality, local asymptotic mixed normality

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter
∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

We investigate ∈-upper and lower class functions for the maximum likelihood estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion.

Keywords: Linear stochastic differential equations, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, upper function; lower function

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter