1 citations · 2 across the 3 of their papers we have counts for
3 papers
math.ST2022
Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
Kohei Chiba, Tetsuya Takabatake
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst…
math.ST2018★ 1 cited
LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter
Kohei Chiba
In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst param…
math.ST2017★ 1 cited
Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
Kohei Chiba
In this paper, we consider the problem of estimating the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter gre…