Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231. https://doi.org/10.1017/S0266466618000051</p
International audienceIn the past few years, a certain number of authors have proposed analysis meth...
Although statistical inference in stochastic differential equations (SDEs) driven by Wiener process ...
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fr...
Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231. https://doi.org/10...
In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractio...
A problem of drift parameter estimation is studied for a nonergodic weighted fractional Vasicek mode...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
This paper studies the asymptotic theory of least squares estimation in a threshold moving average m...
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck ...
This short paper provides a comprehensive set of new theoretical results on the impact of mis-specif...
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck ...
This paper studies fractional processes that may be perturbed by weakly dependent time series. The m...
Semiparametric estimation of a bivariate fractionally coitegrated system is considered. The new esti...
International audienceIn the past few years, a certain number of authors have proposed analysis meth...
Although statistical inference in stochastic differential equations (SDEs) driven by Wiener process ...
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fr...
Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231. https://doi.org/10...
In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractio...
A problem of drift parameter estimation is studied for a nonergodic weighted fractional Vasicek mode...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
This paper studies the asymptotic theory of least squares estimation in a threshold moving average m...
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck ...
This short paper provides a comprehensive set of new theoretical results on the impact of mis-specif...
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck ...
This paper studies fractional processes that may be perturbed by weakly dependent time series. The m...
Semiparametric estimation of a bivariate fractionally coitegrated system is considered. The new esti...
International audienceIn the past few years, a certain number of authors have proposed analysis meth...
Although statistical inference in stochastic differential equations (SDEs) driven by Wiener process ...
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fr...
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