• Corpus ID: 32875551

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. 
1 Citations
THE ET INTERVIEW: B.L.S. PRAKASA RAO
  • A. Bose
  • Mathematics
    Econometric Theory
  • 2010

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