Khalifa Es-Sebaiy

activity

20072026

most citedParameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case

57 citations · 90 across the 23 of their papers we have counts for

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Showing 2019 · math.PRShow all

2 papers · 2 filters

math.PR2019

Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model

Khalifa Es-Sebaiy, Mohammed Es. Sebaiy

We study the problem of parameter estimation for a non-ergodic Gaussian Vasicek-type model defined as $d X_{t} = (μ + θ X_{t}) d t + d G_{t}, t \geq 0$ with unknown parameters $θ > 0$ and $μ\in\mathbb…

math.PR2019

AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation

Soukaina Douissi, Khalifa Es-Sebaiy, Fatimah Alshahrani +1

In this paper, we study the asymptotic behavior of the quadratic variation for the class of AR(1) processes driven by white noise in the second Wiener chaos. Using tools from the a…