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Volumn 25, Issue 6, 2007, Pages 1203-1215

Instrumental variable estimation for linear stochastic differential equations driven by fractional Brownian motion

Author keywords

Asymptotic normality; Consistency; Fractional Brownian motion; Fractional Ornstein Uhlenbeck type process; Instrumental variable estimation; Linear stochastic differential equations

Indexed keywords


EID: 35648973265     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990701567306     Document Type: Article
Times cited : (5)

References (16)
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  • 4
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    • Prakasa Rao, B.L.S. 2003. Parameter estimation for linear stochastic differential equations driven by fractional Brownian motion. Random Operations and Stochastic Equations 11:229-242.
    • (2003) Random Operations and Stochastic Equations , vol.11 , pp. 229-242
    • Prakasa Rao, B.L.S.1
  • 5
    • 35648929666 scopus 로고    scopus 로고
    • Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion
    • Prakasa Rao, B.L.S. 2005. Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion. Journal of the Korean Statistical Society 34:281-295.
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    • Prakasa Rao, B.L.S.1
  • 6
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    • So, B.S.1
  • 9
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    • An elementary approach to a Girsanov type formula and other analytical results on fractional Brownian motion
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    • Norros, I.1    Valkeila, E.2    Viratmo, J.3
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  • 14
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    • The accuracy of the normal approximation for minimum contrast estimate
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    • Michel, R.1    Pfanzagl, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.