203 citations · 730 across the 42 of their papers we have counts for
4 papers · 1 filter
Tests of independence for pairs of paths of non-stationary Gaussian processes
Philip A. Ernst, Frederi G. Viens, Shuo Yan
In the current work, we provide theoretical results for testing (in)dependence between pairs of paths of most commonly studied non-stationary Gaussian processes - standard Brownian…
Parameter Estimation of Gaussian Stationary Processes using the Generalized Method of Moments
Luis A. Barboza, Frederi G. Viens
We consider the class of all stationary Gaussian process with explicit parametric spectral density. Under some conditions on the autocovariance function, we defined a GMM estimator…
Optimal rates for parameter estimation of stationary Gaussian processes
Khalifa Es-Sebaiy, Frederi Viens
We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysi…
Statistical aspects of the fractional stochastic calculus
Ciprian A. Tudor, Frederi G. Viens
We apply the techniques of stochastic integration with respect to fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study…