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Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems

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References

1989Theory of Martingales956 cited
1999Stochastic Analysis of the Fractional Brownian Motion744 cited
1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
1996On the prediction of fractional Brownian motion205 cited
1998Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion97 cited

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2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion54 cited
2013Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process45 cited
2003Approximating some Volterra type stochastic integrals with applications to parameter estimation37 cited
2014Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process35 cited
2013Estimation of change point for switching fractional diffusion processes13 cited

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