Publications and Preprints
Sequential Estimation for Fractional Ornstein-Uhlenbeck Type Process
by
B. L. S. Prakasa Rao
We investigate the asymptotic properties of the sequential maximum likelihhod estimator of
the drift parameter for fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic
differential equation driven by fractional Brownian motion.
isid/ms/2003/11 [fulltext]
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