3 papers
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,…
math.ST2024
Maximum likelihood estimation in the ergodic Volterra Ornstein-Uhlenbeck process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study statistical inference of the drift parameters for the Volterra Ornstein-Uhlenbeck process on R in the ergodic regime. For continuous-time observations, we derive the corre…
math.ST2023
Asymptotic properties of AD(1, n) model and its maximum likelihood estimator
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of affine diffusions in denoted by where is a positive integer wh…