13 citations · 13 across the 1 of their papers we have counts for
4 papers
Asymptotic Properties of an Estimator of the Drift Coefficients of Multidimensional Ornstein-Uhlenbeck Processes that are not Necessarily Stable
Gopal K. Basak, Philip Lee
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, , of Ornstein-Uhlenbeck processes that are not necessarily stable. W…
A functional central limit theorem for a class of urn models
Gopal K Basak, Amites Dasgupta
We construct an independent increments Gaussian process associated to a class of multicolor urn models. The construction uses random variables from the urn model which are differen…
Stationarity of Switching VAR and Other Related Models
Gopal K. Basak, Zhan-Qian Lu
Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically ass…
Central limit theorems for a class of irreducible multicolor urn models
Gopal K. Basak, Amites Dasgupta
We take a unified approach to central limit theorems for a class of irreducible urn models with constant replacement matrix. Depending on the eigenvalue, we consider appropriate li…