Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion

Çetin, U; Novikov, A; Shiryaev, AN

Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion

Çetin, U Novikov, A

Shiryaev, AN

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Publication Type:: Journal Article
Citation:: Sequential Analysis, 2013, 32 (3), pp. 288 - 296
Issue Date:: 2013-07-01

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Field	Value	Language
dc.contributor.author	Çetin, U	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Shiryaev, AN	en_US
dc.date.issued	2013-07-01	en_US
dc.identifier.citation	Sequential Analysis, 2013, 32 (3), pp. 288 - 296	en_US
dc.identifier.issn	0747-4946	en_US
dc.identifier.uri	http://hdl.handle.net/10453/27843
dc.description.abstract	We solve explicitly a Bayesian sequential estimation problem for the drift parameter μ of a fractional Brownian motion under the assumptions that a prior density of μ is Gaussian and that a penalty function is quadratic or Dirac-delta. The optimal stopping time for this case is deterministic. © 2013 Copyright Taylor and Francis Group, LLC.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP120102398
dc.relation.ispartof	Sequential Analysis	en_US
dc.relation.isbasedon	10.1080/07474946.2013.803809	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	32	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	32	en_US

Abstract:

We solve explicitly a Bayesian sequential estimation problem for the drift parameter μ of a fractional Brownian motion under the assumptions that a prior density of μ is Gaussian and that a penalty function is quadratic or Dirac-delta. The optimal stopping time for this case is deterministic. © 2013 Copyright Taylor and Francis Group, LLC.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/27843