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We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.
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참고문헌 (15)
참고문헌 신청
P. Billingsley / 1968 / Convergence of Probability Measures / John Wiley & Sons, Inc.
I. A. Ibragimov / 1981 / Statistical estimation, translated from the Russian by Samuel Kotz, Applications of Mathematics, 16 / Springer-Verlag
M. L. Kleptsyna / 2002 / Statistical analysis of the fractional Ornstein-Uhlenbeck type process / Stat. Inference Stoch. Process. 5(3):229~248
M. L. Kleptsyna / 2000 / Parameter estimation and optimal filtering for fractional type stochastic systems / Stat. Inference Stoch. Process. 3(1-2):173~182
M. L. Kleptsyna / 2000 / General approach to filtering with fractional Brownian noises-application to linear systems / Stochastics Rep. 71(1-2):119~140
I. A. Ibragimov / 1981 / Statistical estimation, translated from the Russian by Samuel Kotz, Applications of Mathematics, 16 / Springer-Verlag
M. L. Kleptsyna / 2002 / Statistical analysis of the fractional Ornstein-Uhlenbeck type process / Stat. Inference Stoch. Process. 5(3):229~248
M. L. Kleptsyna / 2000 / Parameter estimation and optimal filtering for fractional type stochastic systems / Stat. Inference Stoch. Process. 3(1-2):173~182
M. L. Kleptsyna / 2000 / General approach to filtering with fractional Brownian noises-application to linear systems / Stochastics Rep. 71(1-2):119~140
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