Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion-Reference-Cited by-同舟云学术

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Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion

Published:2003-01-09 Issue:5 Volume:21 Page:995-1007
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Bishwal J. P. N.

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1081/SAP-120024701

Reference37 articles.

1. Parameter estimation in linear filtering

2. MLE for partially observed diffusions: direct maximization vs. the em algorithm

3. Consistent parameter estimation for partially observed diffusions with small noise

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