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- W2083190908 abstract "The paper studies long time asymptotic properties of the maximum likelihood estimator (MLE) for the signal drift parameter in a partially observed fractional diffusion system with dependent noise. Using the method of weak convergence of likelihoods due to Ibragimov and Khasminskii [1981. Statistics of Random Processes. Springer, New-York], consistency, asymptotic normality and convergence of the moments are established for MLE. The proof is based on Laplace transform computations which was introduced in Brouste and Kleptsyna [2008. Asymptotic properties of MLE for partially observed fractional diffusion system, preprint]." @default.
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- W2083190908 date "2010-02-01" @default.
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- W2083190908 title "Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises" @default.
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- W2083190908 doi "https://doi.org/10.1016/j.jspi.2009.08.001" @default.
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