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math.PR2019★ 2 cited
On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
A. V. Ivanov, N. N. Leonenko, I. V. Orlovskyi
A continuous-time nonlinear regression model with Lévy-driven linear noise process is considered. Sufficient conditions of consistency and asymptotic normality of the Whittle estim…
math.PR2018
Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise
Alexander V. Ivanov, Igor V. Orlovskyi
A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of t…