Publications and Preprints
Parametric estimation for linear stochastic differential equations driven by fractional Brownian Motion
B. L. S. Prakasa Rao
We investigate the asymptotic properties of the maximum likelihhod estimator and Bayes
estimator of the drift parameter for stochastic processes satisfying a linear stochastic differential
equations driven by fractional Brownian motion. We obtain a Bernstein-von Mises type theorem
also for such a class of processes.
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