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Cramèr–Rao bounds for fractional Brownian motions

✍ Scribed by Jean-François Coeurjolly; Jacques Istas

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
157 KB
Volume
53
Category
Article
ISSN
0167-7152

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✦ Synopsis

We obtain Cram er-Rao bounds for parameters estimators of fractional Brownian motions. We point out the di erences of behavior whether these processes are standard or not. The key-point of this study relies upon a linear algebra result we prove, exhibiting bounds for elements of inverse of localized matrices.

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