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math.ST2024
Non trivial optimal sampling rate for estimating a Lipschitz-continuous function in presence of mean-reverting Ornstein-Uhlenbeck noise
Enrico Bernardi, Alberto Lanconelli, Christopher S. A. Lauria +1
We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by…
math.ST2023
Maximum Likelihood With a Time Varying Parameter
Alberto Lanconelli, Christopher S. A. Lauria
We consider the problem of tracking an unknown time varying parameter that characterizes the probabilistic evolution of a sequence of independent observations. To this aim, we prop…