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Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion |
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| Authors: | B L S Prakasa Rao |
| Institution: | 1. CR Rao Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad, Indiablsprao@gmail.com |
| Abstract: | We investigate the asymptotic properties of instrumental variable estimators of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by mixed fractional Brownian motion. |
| Keywords: | Linear stochastic differential equations mixed fractional Brownian motion instrumental variable estimation consistency asymptotic normality |