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Sequential Analysis
Design Methods and Applications
Volume 23, 2004 - Issue 1
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Original Articles

Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process

B.L.S. Prakasa Rao Indian Statistical Institute, New Delhi, India; Indian Statistical Institute, 7, S.J.S. Sansanwal Marg, New Delhi, 110016, IndiaCorrespondence[email protected]
Pages 33-44 | Received 01 Feb 2003, Accepted 01 Jun 2003, Published online: 19 Aug 2006

Citations (12)

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Read on this site (4)

B. L. S. Prakasa Rao. (2017) Optimal estimation of a signal perturbed by a sub-fractional Brownian motion. Stochastic Analysis and Applications 35:3, pages 533-541.
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B. L. S. Prakasa Rao. (2005) Estimation for Translation of a Process Driven by Fractional Brownian Motion. Stochastic Analysis and Applications 23:6, pages 1199-1212.
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B.L.S. Prakasa Rao. (2005) Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion. Sequential Analysis 24:2, pages 189-203.
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B. L. S. Prakasa Rao. (2004) Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion. Stochastic Analysis and Applications 22:6, pages 1487-1509.
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Articles from other publishers (8)

B. L. S. Prakasa Rao. (2021) Maximum likelihood estimation for sub-fractional Vasicek model. Random Operators and Stochastic Equations 29:4, pages 265-277.
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Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko & Oleg Seleznjev. (2015) Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index $H\in(0,\frac{1}{2})$. Electronic Journal of Statistics 9:2.
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Liang Shen & Qingsong Xu. (2014) Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process. Advances in Difference Equations 2014:1.
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Alexandra Chronopoulou & Georgios Fellouris. (2018) Optimal Sequential Change Detection for Fractional Diffusion-Type Processes. Journal of Applied Probability 50:1, pages 29-41.
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B. Bercu, L. Coutin & N. Savy. (2011) Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process. Theory of Probability & Its Applications 55:4, pages 575-610.
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B. L. S. Prakasa Rao. 2010. Statistical Inference for Fractional Diffusion Processes. Statistical Inference for Fractional Diffusion Processes 239 249 .
Bernard Bercu, Bernard Bercu, Laure Coutin, Laure Coutin, Nicolas Savy & Nicolas Savy. (2010) Sharp large deviations for the fractional Ornstein - Uhlenbeck processSharp large deviations for the fractional Ornstein - Uhlenbeck process. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 55:4, pages 732-771.
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B. L. S. Prakasa Rao. (2008) Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion. Random Operators and Stochastic Equations 16:1.
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