Cramer-Rao bounds for fractional Brownian motions

Jean-François Coeurjolly and Jacques Istas

Statistics & Probability Letters, 2001, vol. 53, issue 4, 435-447

Abstract: We obtain Cramer-Rao bounds for parameters estimators of fractional Brownian motions. We point out the differences of behavior whether these processes are standard or not. The key-point of this study relies upon a linear algebra result we prove, exhibiting bounds for elements of inverse of localized matrices.

Keywords: Cramer-Rao; bounds; Fractional; Brownian; motion; Invertibility; of; localized; matrices (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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