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Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.21
O.M. Dеriyeva, S.P. Shpyga

ON A PROBLEM OF SYSTEM IDENTIFICATION WITH ADDITIVE
FRACTIONAL BROWNIAN FIELD

Abstract. In the paper we investigate the problem of nonparametric estimation (identification) for a sufficiently wide class of random fields on a plane satisfying the solution of stochastic partial differential equations with additive fractional Brownian field. The asymptotic properties of the drift parameter are analyzed using the sieve method.

Keywords: identification problem, fractional Brownian field, drift parameter, method of sieves.



FULL TEXT

Дериева Елена Николаевна,
кандидат физ.-мат наук, старший научный сотрудник Института кибернетики им. В.М. Глушкова НАН Украины, Киев,
e-mail: derieva@gmail.com.

Шпига Сергей Петрович,
младший научный сотрудник Института кибернетики им. В.М. Глушкова НАН Украины, Киев,
e-mail: shpyga@meta.ua.

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