Add to ORKGWe study a least squares estimator for the Ornstein-Uhlenbeck process, , driven by fractional Brownian motion BH with Hurst parameter . We prove the strong consistence of (the almost surely convergence of to the true parameter [theta]). We also obtain the rate of this convergence when 1/2
We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...
We study the problem of parameter estimation for generalized Ornstein-Uhlenbeck processes with small...
We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbe...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck proce...
In this paper, we deal with an Ornstein–Uhlenbeck process driven by sub-fractional Brownian motion o...
Abstract In this paper, we consider the nonergodic Ornstein-Uhlenbeck process X 0 = 0 , d X t = θ X ...
Let $ B^{a, b}: = \{B_t^{a, b}, t\geq0\} $ be a weighted fractional Brownian motion of parameters $ ...
peer reviewedThe fractional Ornstein–Uhlenbeck process of the second kind (fOU2) is the solution of ...
to appear in Theory of Probability and its ApplicationsThis paper addresses the problem of estimatin...
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...
This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H ...
We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ...
We investigate the asymptotic properties of the sequential maximum likelihhod estimator of the drift...
We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...
We study the problem of parameter estimation for generalized Ornstein-Uhlenbeck processes with small...
We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbe...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck proce...
In this paper, we deal with an Ornstein–Uhlenbeck process driven by sub-fractional Brownian motion o...
Abstract In this paper, we consider the nonergodic Ornstein-Uhlenbeck process X 0 = 0 , d X t = θ X ...
Let $ B^{a, b}: = \{B_t^{a, b}, t\geq0\} $ be a weighted fractional Brownian motion of parameters $ ...
peer reviewedThe fractional Ornstein–Uhlenbeck process of the second kind (fOU2) is the solution of ...
to appear in Theory of Probability and its ApplicationsThis paper addresses the problem of estimatin...
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...
This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H ...
We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ...
We investigate the asymptotic properties of the sequential maximum likelihhod estimator of the drift...
We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...
We study the problem of parameter estimation for generalized Ornstein-Uhlenbeck processes with small...
We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbe...