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Statistical Inference with Fractional Brownian Motion

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  • Alexander Kukush

  • Yulia Mishura

  • Esko Valkeila

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  • 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.
    • Handle: RePEc:spr:sistpr:v:8:y:2005:i:1:p:71-93
    DOI: 10.1023/B:SISP.0000049124.59173.79
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    References listed on IDEAS

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    1. Le Breton, Alain, 1998. "Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 38(3), pages 263-274, June.
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    Cited by:

    1. 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.

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