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math.ST2020
A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift
Chunhao Cai, Min Zhang
This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estima…
math.ST2016
Non-parametric threshold estimation for classical risk process perturbed by diffusion
Chunhao Cai, Junyi Guo, Honglong You
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time an…
math.ST2013
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Alexandre Brouste, Chunhao Cai, Marina Kleptsyna
In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order with regular stationary Gaussian noise.…