Geodesic
Optimal estimation of a signal perturbed by a mixed fractional Brownian motion
Teoriâ slučajnyh processov, Tome 22 (2017) no. 2, pp. 62-68

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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. 
@article{THSP_2017_22_2_a5,
     author = {B.L.S. Prakasa Rao},
     title = {Optimal estimation of a signal perturbed by a mixed fractional {Brownian} motion},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {62--68},
     publisher = {mathdoc},
     volume = {22},
     number = {2},
     year = {2017},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2017_22_2_a5/}
}
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B.L.S. Prakasa Rao. Optimal estimation of a signal perturbed by a mixed fractional Brownian motion. Teoriâ slučajnyh processov, Tome 22 (2017) no. 2, pp. 62-68. http://geodesic.mathdoc.fr/item/THSP_2017_22_2_a5/