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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2017, том 22(38), выпуск 2, страницы 62–68 (Mi thsp180)

Optimal estimation of a signal perturbed by a mixed fractional Brownian motion

B.L.S. Prakasa Rao

CRRao AIMSCS, University of Hyderabad Camous, Hyderabad 500046, India

Аннотация: We consider the problem of optimal estimation of the vector parameter $\theta$ of the drift term in a mixed fractional Brownian motion. We obtain the maximum likelihood estimator as well as the Bayesian estimator when the prior distribution is Gaussian.

Ключевые слова: Mixed fractional Brownian motion; Maximum likelihood estimation; Bayes estimation.

MSC: 60G22

Язык публикации: английский



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