Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems

M.L. Kleptsyna (), A. Le Breton () and M.-C. Roubaud ()

Statistical Inference for Stochastic Processes, 2000, vol. 3, issue 1, 173-182

Keywords: fractional Brownian motion; innovation process; Girsanov formula; maximum likelihood; optimal filtering (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1009923431187

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