Showing 2024Show all
2 papers · 1 filter
math.ST2024
Random effects estimation in a fractional diffusion model based on continuous observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
The purpose of the present work is to construct estimators for the random effects in a fractional diffusion model using a hybrid estimation method where we combine parametric and n…
math.ST2024
On Conditional least squares estimation for the AD(1,n) model
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic,…