MathematicsPhysics
DOI: 10.1515/156939703771378581

Abstract

We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion. We obtain a Bernstein-von Mises type theorem also for such a class of processes.

Citation format

RAO, B. Parametric estimation for linear stochastic differential equations driven by fractional brownian motion. Random Operators and Stochastic Equations, 2003, 11: 229–242.