Design for estimation of the drift parameter in fractional diffusion systems - Archive ouverte HAL
Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2012

Design for estimation of the drift parameter in fractional diffusion systems

Marina Kleptsyna
Alexandre Popier

Résumé

We consider a controlled linear differential equation which is partially observed with an additive fractional noise. In this setting, we study the asymptotic (for large observation time) design problem of the input and give an efficient estimator of the unknown signal drift parameter. The optimal estimation input is deduced. The consistency, asymptotic normality and convergence of the moments of the MLE are established.

Dates et versions

hal-01634601 , version 1 (14-11-2017)

Identifiants

Citer

Alexandre Brouste, Marina Kleptsyna, Alexandre Popier. Design for estimation of the drift parameter in fractional diffusion systems. Statistical Inference for Stochastic Processes, 2012, 15 (2), pp.133-149. ⟨10.1007/s11203-012-9067-5⟩. ⟨hal-01634601⟩
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