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- Title
Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise.
- Authors
Androshchuk, Taras
- Abstract
We give sufficient conditions under which dynamical system with small fractional Brownian noise generates a set of regular statistical experiments in a sense of Ibragimov and Has'minskii's definition. As a corollary, the maximum likelihood estimator of unknown parameter based on the observation of trajectory is consistent, uniformly asymptotically normal and its moments converge to the ones of the standard normal distribution.
- Subjects
ESTIMATION theory; DIFFERENTIABLE dynamical systems; RANDOM noise theory; BROWNIAN motion; ASYMPTOTIC distribution; GAUSSIAN distribution
- Publication
Random Operators & Stochastic Equations, 2006, Vol 14, Issue 4, p335
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/156939706779801660