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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.ST2022
On optimal prediction of missing functional data with memory
Pauliina Ilmonen, Nourhan Shafik, Tommi Sottinen +2
This paper considers the problem of reconstructing missing parts of functions based on their observed segments. It provides, for Gaussian processes and arbitrary bijective transfor…