44 citations · 81 across the 22 of their papers we have counts for
Showing 2015 · math.PRShow all
3 papers · 2 filters
math.PR2015★ 2 cited
Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
Pavel Chigansky, Marina Kleptsyna
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions.…
math.PR2015
Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes
Marina Kleptsyna, Alain Le Breton, Bernard Ycart
The Gärtner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed i…
math.PR2015★ 7 cited
On robustness of discrete time optimal filters
Marina Kleptsyna, Alexander Veretennikov
A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.