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math.ST2025
Optimal Estimation for General Gaussian Processes
Tetsuya Takabatake, Jun Yu, Chen Zhang
This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE)…
math.ST2023
Asymptotic Efficiency for Fractional Brownian Motion with general noise
Grégoire Szymanski, Tetsuya Takabatake
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situa…
math.ST2023
On robustness of Spectral Rényi divergence
Tetsuya Takabatake, Keisuke Yano
This paper studies a specific class of statistical divergences for spectral densities of time series: the spectral -Rényi divergences, which include the Itakura-Saito divergence…