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

collaborators

Showing 2018Show all

2 papers · 1 filter

math.PR2018

Volatility estimation in fractional Ornstein-Uhlenbeck models

Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari

In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t} u_{s} d Y_{s}^{(1)}$ % , where $u$ is a $β$ -Hölder continuous process w…

stat.ME2018

Parametrizations, weights, and optimal prediction: Part 1

Azzouz Dermoune, Khalifa Es-Sebaiy, Mohammed Es. Sebaiy +1

We consider the problem of the annual mean temperature prediction. The years taken into account and the corresponding annual mean temperatures are denoted by $0, \dots, n$ and $t_0…