Parameter estimation for stochastic equations with additive fractional Brownian sheet

Statistical Inference for Stochastic Processes

Volumn 11, Issue 3, 2008, Pages 221-236

  Sottinen, Tommi ^a,b   Tudor, Ciprian A ^c  

^a REYKJAVIK UNIVERSITY   (Iceland)

^b UNIVERSITY OF HELSINKI   (Finland)

^c University Paris I Sorbonne Panthéon   (France)

Author keywords

Fractional Brownian sheet; Girsanov transform; Malliavin calculus; Maximum likelihood estimator

Indexed keywords

EID: 51649103840     PISSN: 13870874     EISSN: 15729311     Source Type: Journal    
DOI: 10.1007/s11203-007-9019-7     Document Type: Article

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