2 papers
math.ST2024
Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
Hamidreza Maleki Almani, Tommi Sottinen
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the…
math.PR2023
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.