Publications and Preprints
Identification for linear stochastic systems driven by fractional Brownian motion
B. L. S. Prakasa Rao
We apply Grenander’s method of sieves to the problem of identification or estimation of the
``drift'' function for linear stochastic systems driven by a fractional Brownian motion (fBm).
We use an increasing sequence of finite dimensional subspaces of the parameter space as the
natural sieves on which we maximise the likelihood function.
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