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Parameter estimation for stochastic equations with additive fractional Brownian sheet

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  • Tommi Sottinen
  • Ciprian Tudor

Abstract

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Suggested Citation

  • Tommi Sottinen & Ciprian Tudor, 2008. "Parameter estimation for stochastic equations with additive fractional Brownian sheet," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 221-236, October.
    • Handle: RePEc:spr:sistpr:v:11:y:2008:i:3:p:221-236
    DOI: 10.1007/s11203-007-9019-7
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    References listed on IDEAS

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    1. Alexander Kukush & Yulia Mishura & Esko Valkeila, 2005. "Statistical Inference with Fractional Brownian Motion," Statistical Inference for Stochastic Processes, Springer, vol. 8(1), pages 71-93, January.
    2. M.L. Kleptsyna & A. Le Breton & M.-C. Roubaud, 2000. "Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 173-182, January.
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    Citations

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    Cited by:

    1. Tommi Sottinen & Lauri Viitasaari, 2018. "Parameter estimation for the Langevin equation with stationary-increment Gaussian noise," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 569-601, October.
    2. Nenghui Kuang & Huantian Xie, 2015. "Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 75-91, February.
    3. Bertin, Karine & Torres, Soledad & Tudor, Ciprian A., 2011. "Drift parameter estimation in fractional diffusions driven by perturbed random walks," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 243-249, February.

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