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Optimal rates for parameter estimation of stationary Gaussian processes · Study

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ArticleOptimal rates for parameter estimation of stationary Gaussian processes

Khalifa Es-Sebaiy2018

OA

Articlebronze2018

Optimal rates for parameter estimation of stationary Gaussian processes

Khalifa Es-Sebaiy · Frederi G Viens

51 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

2006The Malliavin Calculus and Related Topics 2005Central limit theorems for sequences of multiple stochastic integrals 2003Fractional Ornstein-Uhlenbeck processes 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process 2007Statistical aspects of the fractional stochastic calculus 20052005): Statistical Aspects of the fractional stochastic calculus 2012Convergence in total variation on Wiener chaos

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2018Statistical inference for Vasicek-type model driven by Hermite processes 2017Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean

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2016Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noisearticle · 9 shared references 2017Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic meanarticle · 8 shared references 2018ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODELarticle · 7 shared references 2013Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processesarticle · 7 shared references 2023Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Meanarticle · 7 shared references 2013A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noisearticle · 6 shared references

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Year2018

Typearticle

Published2018-09-21

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2018.08.010

openalex_workW2299805253

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