Maximum likelihood estimation of fractional Brownian motion and Markov noise parameters
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimation of the Parameters of Fractional Brownian Motions
This paper provides onvergen e analysis for maximum likelihood estimation of the parameters des ribing a parti ular multi-s ale pro ess known as fra tional Brownian motion. We on entrate on s hemes that `pre-whiten' the available noise orrupted data via the Fast Wavelet Transform and show that su h s hemes are strongly onsistent and asymptoti ally eÆ ient. We also analyse the rate of onvergen e...
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ژورنال
عنوان ژورنال: Journal of Guidance, Control, and Dynamics
سال: 1995
ISSN: 0731-5090,1533-3884
DOI: 10.2514/3.21398