Yong Chen

activity

20202025

most citedSecond Moment Estimator for An AR(1) Model Driven by A Long Memory Gaussian Noise

1 citations · 2 across the 4 of their papers we have counts for

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math.PR2025

Berry-Esseen bound for the Moment Estimation of the fractional Ornstein-Uhlenbeck model under fixed step size discrete observations

Zheng Tang, Ying Li, Haili Yang +2

Let the Ornstein-Uhlenbeck process ${X_{t}, t \geq 0}$ driven by a fractional Brownian motion $B^{H}$ described by $d X_{t} = - θ X_{t} d t + d B_{t}^{H}, X_{0} = 0$ with known parameter $H\in (0,\f…

math.PR2023

Statistical Estimations for Non-Ergodic Vasicek Model Driven by Two Types of Gaussian Processes

Yong Chen, Wu-Jun Gao, Ying Li

We study the joint asymptotic distribution of the least squares estimator of the parameter $(θ, μ)$ for the non-ergodic Vasicek models driven by seven specific Gaussian processes.…

math.PR2023★ 1 cited

The Properties of Fractional Gaussian Process and Their Applications

Yong Chen, Ying Li

The process $(G_{t})_{t \in [0, T]}$ is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of…