Optimal estimation of a signal perturbed by a fractional brownian noise

A. V. Artemov, E. V. Burnaev

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)

Abstract

We consider the problem of optimal estimation of the value of a vector parameter θ = (θ0,..., θn)T of the drift term in a fractional Brownian motion represented by the finite sum Σni=0 θiφi(t) over known functions φi(t), i = 0,...,n. For the value of parameter θ, we obtain a maximum likelihood estimate as well as Bayesian estimates for normal and uniform a priori distributions.

Original languageEnglish
Pages (from-to)126-134
Number of pages9
JournalTheory of Probability and its Applications
Volume60
Issue number1
DOIs
Publication statusPublished - 2016
Externally publishedYes

Keywords

  • Bayesian estimate
  • Fractal brownian motion
  • Maximum likelihood estimate
  • Optimal stopping
  • Sequential estimation

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