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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 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 is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of…