Publications and Preprints

Sequential Estimation for Fractional Ornstein-Uhlenbeck Type Process
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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