R. Belfadli

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20102026

most citedParameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case

57 citations · 69 across the 11 of their papers we have counts for

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Showing 2020 · math.PRShow all

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math.PR2020★ 1 cited

Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean

Rachid Belfadli, Khalifa Es-Sebaiy, Fatima-Ezzahra Farah

Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X = {X_{t}, t \geq 0}$ of the form $d X_{t} = (L (t) + α X_{t}) d t + d B_{t}^{H}, t \geq 0$ , where $L(t)=\sum_{i=…

math.PR2020

Berry-Esséen bound for drift estimation of fractional Ornstein Uhlenbeck process of second kind

Maoudo Faramba Balde, Rachid Belfadli, Khalifa Es-Sebaiy

In the present paper we consider the Ornstein-Uhlenbeck process of the second kind defined as solution to the equation $d X_{t} = - α X_{t} d t + d Y_{t}^{(1)}, X_{0} = 0$ , where $Y_{t}^…