Identification for linear stochastic systems driven by fractional brownian motion
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Date
2004
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Keywords
Linear stochastic systems, Stochastic differential equations, Fractional ornstein-uhlenbeck process, Fractional Brownian motion, Identification, Nonparametric estimation, Consistency, Asymptotic normality, Metdod of sieves
Citation
Stochastic analysis and applications,V22,P1487-1509