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Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise
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Taras Androshchuk
Veröffentlicht/Copyright:
1. Dezember 2006
We give sufficient conditions under which dynamical system with small fractional Brownian noise generates a set of regular statistical experiments in a sense of Ibragimov and Has'minskii's definition. As a corollary, the maximum likelihood estimator of unknown parameter based on the observation of trajectory is consistent, uniformly asymptotically normal and its moments converge to the ones of the standard normal distribution.
Key Words: Maximum likelihood estimation,; fractional Brownian noise,; dynamical system with small noise,; regularity,; strong consistency,; uniform asymptotical normality.
Published Online: 2006-12-01
Published in Print: 2006-12-01
Copyright 2006, Walter de Gruyter
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Artikel in diesem Heft
- Comparative stationarity of stochastic exponential and monomial densities
- Stochastic equations with multidimensional drift driven by Levy processes
- On existence of a solution for differential equation with interaction
- Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise
- On a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
- Limiting distribution of random motion in a n-dimensional parallelepiped
- Long-range dependence of time series for MSFT data of the prices of shares and returns
Schlagwörter für diesen Artikel
Maximum likelihood estimation,;
fractional Brownian noise,;
dynamical system with small noise,;
regularity,;
strong consistency,;
uniform asymptotical normality.
Artikel in diesem Heft
- Comparative stationarity of stochastic exponential and monomial densities
- Stochastic equations with multidimensional drift driven by Levy processes
- On existence of a solution for differential equation with interaction
- Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise
- On a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
- Limiting distribution of random motion in a n-dimensional parallelepiped
- Long-range dependence of time series for MSFT data of the prices of shares and returns
