Optimal estimation of a signal perturbed by a mixed fractional Brownian motion

B.L.S. Prakasa Rao

CRRao AIMSCS, University of Hyderabad Camous, Hyderabad 500046, India

Abstract: We consider the problem of optimal estimation of the vector parameter $\theta$ of the drift term in a mixed fractional Brownian motion. We obtain the maximum likelihood estimator as well as the Bayesian estimator when the prior distribution is Gaussian.

Keywords: Mixed fractional Brownian motion; Maximum likelihood estimation; Bayes estimation.

MSC: 60G22

Language: English

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