Design for estimation of drift parameter in fractional diffusion system

Alexandre Brouste (1) , Marina Kleptsyna (1) , Alexandre Popier (1, 2)

1 LMM - Laboratoire Manceau de Mathématiques
2 FPL MATH - Fédération de Recherche Mathématiques des Pays de la Loire

The paper studies long time asymptotic properties of the Maximum Likelihood Estimator (MLE) of the signal drift parameter in a partially observed controled fractional diffusion system. The optimal estimation input is deduced. The consistency, asymptotic normality and convergence of the moments of the MLE are established.

Mots clés: Maximum Likelihood; Fractional Diffusion; Parameter Estimation

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Alexandre Brouste, Marina Kleptsyna, Alexandre Popier. Design for estimation of drift parameter in fractional diffusion system. 2010. ⟨hal-00486428⟩