arXiv subjects
Publications and source records attributed to B. L. S. Prakasa Rao.
We study sufficient conditions which ensure that the probability measures generated by two bifractional Brownian motions on an interval [0,1] are singular with respect to each other and sufficient conditions for the probability measures generated by two trifractional Brownian motions on an interval [0,1] are singular with respect to each other.
We discuss maximum likelihood estimation of parameters for models governed by a stochastic differential equation driven by a mixed fractional Brownian motion with random effects.
We investigate the problem of nonparametric estimation of the trend for stochastic differential equations with delay and driven by a fractional Brownian motion through the method of kernel-type estimation for the estimation of a probability density function.
Parametric and nonparametric inference for stochastic processes driven by a fractional Brownian motion were investigated in Mishura (2008) and Prakasa Rao(2010) among others. Similar problems for processes driven by an infinite dimensional fractional Brownian motion were studied in Prakasa Rao (2004,2013), Cialenco (2009) and others. Parametric estimation for processes driven by infinite dimensional mixed fractional Brownian motion is discussed in this article.
Prakasa Rao (Studia Sci. Math. Hungar. 11 (1976) 277-282) studied a characterization of probability distributions for linear functions of independent generalized random fields. These results are extended to Q-independent generalized random fields. It is known that independence implies Q-independence but the converse is not true.
We study the problem of nonparametric estimation of linear multiplier function $θt)$ for processes satisfying stochastic differential equations of the type $dX_t=θ(t)X_tdt+\epsilond\bar W_t^H, X_0=x_0, 0\leq t \leq T$ where $\{\bar W_T^H, t \geq 0\}$ is a mixed fractional Brownian motion with known Hurst index $H$ and study the asymptotic behaviour of the estimator as $ε\rightarrow 0.$
We obtain a Berry-Esseen type bound for the distribution of the maximum likelihood estimator of the drift parameter for fractional Ornstein-uhlenbeck type process driven by sub-fractional Brownian motion.