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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.
Образец цитирования:
B.L.S. Prakasa Rao, “Optimal estimation of a signal perturbed by a mixed fractional Brownian motion”, Theory Stoch. Process., 22(38):2 (2017), 62–68
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp180 https://www.mathnet.ru/rus/thsp/v22/i2/p62
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Страница аннотации: | 154 | PDF полного текста: | 62 | Список литературы: | 20 |
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