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Theory of Stochastic Processes, 2017, Volume 22(38), Issue 2, Pages 62–68 (Mi thsp180)  
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
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Abstract: 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.
Keywords: Mixed fractional Brownian motion; Maximum likelihood estimation; Bayes estimation.
Funding agency
This work was supported under the scheme "INSA Senior Scientist" of the Indian National Science Academy at the CR Rao Advanced Institute of Mathematics, Statistics and Computer science, Hyderabad 500046, India.
Bibliographic databases:
Document Type: Article
MSC: 60G22
Language: English
Citation: 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
Citation in format AMSBIB
\Bibitem{Pra17}
\by B.L.S.~Prakasa Rao
\paper Optimal estimation of a signal perturbed by a mixed fractional Brownian motion
\jour Theory Stoch. Process.
\yr 2017
\vol 22(38)
\issue 2
\pages 62--68
\mathnet{http://mi.mathnet.ru/thsp180}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3843525}
\zmath{https://zbmath.org/?q=an:06987425}
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