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11/18/2022
Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency
This paper deals with the rate of convergence for the central limit theo...
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06/23/2021
Gaussian and Hermite Ornstein-Uhlenbeck processes
In the present paper we study the asymptotic behavior of the auto-covari...
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02/09/2021
Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
Let Z:={Z_t,t≥0} be a stationary Gaussian process. We study two estimato...
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08/31/2020
Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
Consider a periodic, mean-reverting Ornstein-Uhlenbeck process X={X_t,t≥...
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05/17/2020
Berry-Esséen bound for drift estimation of fractional Ornstein Uhlenbeck process of second kind
In the present paper we consider the Ornstein-Uhlenbeck process of the s...
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05/14/2020
Optimal Berry-Esséen bound for Maximum likelihood estimation of the drift parameter in α-Brownian bridge
Let T>0,α>1/2. In the present paper we consider the α-Brownian bridge de...
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02/17/2020
Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters
Let B^a,b:={B_t^a,b,t≥0} be a weighted fractional Brownian motion of par...
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09/13/2019
Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
We study the problem of parameter estimation for a non-ergodic Gaussian ...
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01/13/2018