Showing 2012 · math.PRShow all
2 papers · 2 filters
math.PR2012
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Bernard Bercu, Frederic Proia, Nicolas Savy
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbec…
math.PR2012
Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
S. Valère Bitseki Penda, Hacène Djellout, Frédéric Proïa
The purpose of this paper is to investigate moderate deviations for the Durbin-Watson statistic associated with the stable first-order autoregressive process where the driven noise…