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Parameter estimation for stochastic equations with additive fractional Brownian sheet |
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| Authors: | Tommi Sottinen Ciprian A Tudor |
| Institution: | (1) Reykjavik University, Kringlan 1, 103 Reykjavik, Iceland;(2) Department of Mathematics and Statistics, University of Helsinki, PO Box 68, 00014 Helsinki, Finland;(3) SAMOS-MATISSE, Université de Panthéon-Sorbonne Paris 1, 90 rue de Tolbiac, 75634 Paris Cedex 13, France |
| Abstract: | We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity theory. |
| Keywords: | Maximum likelihood estimator Fractional Brownian sheet Malliavin calculus Girsanov transform |
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