# PARAMETRIC ESTIMATION FOR LINEAR SYSTEM OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTIONS WITH DIFFERENT HURST INDICES

@inproceedings{Rao2010PARAMETRICEF, title={PARAMETRIC ESTIMATION FOR LINEAR SYSTEM OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTIONS WITH DIFFERENT HURST INDICES}, author={Prakasa Rao}, year={2010} }

We consider the problem of maximum likelihood estimation of the common trend parameter for a linear system of stochastic differential equations driven by two independent fractional Brownian motions possibly with different Hurst indices. Asymptotic properties of the maximum likelihood estimator are discussed.

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