Design for estimation of the drift parameter in fractional diffusion systems |
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Authors: | Alexandre Brouste Marina Kleptsyna Alexandre Popier |
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Institution: | 1. Universit?? du Maine, Le Mans Cedex 9, France
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Abstract: | 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. |
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