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Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions |
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| Authors: | M. N. Mishra |
| Affiliation: | Institute of Mathematics and Its Applications, Bhubaneswar, India |
| Abstract: | We study the local asymptotic normality and estimation for drift parameter obtained through Kalman–Bucy filter for linear systems driven by fractional Brownian motions. |
| Keywords: | Fractional Brownian motion linear systems optimal filtering Kalman–Bucy filter innovation process drift parameter estimation |