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- W3100400611 abstract "The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form $X_t = theta G(t) + B_t$, where $B$ is a Gaussian process, $G(t)$ is a known function, and $theta$ is an unknown drift parameter. The estimation techniques for the cases of discrete-time and continuous-time observations are presented. As examples, models with fractional Brownian motion, mixed fractional Brownian motion, and sub-fractional Brownian motion are considered. Secondly, we study in detail the model with two independent fractional Brownian motions and apply the general results mentioned above to this model." @default.
- W3100400611 created "2020-11-23" @default.
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- W3100400611 date "2018-01-01" @default.
- W3100400611 modified "2023-10-16" @default.
- W3100400611 title "Parameter Estimation for Gaussian Processes with Application to the Model with Two Independent Fractional Brownian Motions" @default.
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- W3100400611 doi "https://doi.org/10.1007/978-3-030-02825-1_6" @default.
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