44 citations · 81 across the 22 of their papers we have counts for
4 papers · 1 filter
Asymptotic analysis of the finite predictor for fractional Gaussian noise
P. Chigansky, M. Kleptsyna
This paper proposes a new approach to the asymptotic analysis of the finite predictor for stationary sequences. Our method yields the exact asymptotics of both the relative predict…
Estimation of the Hurst parameter from continuous noisy data
P. Chigansky, M. Kleptsyna
This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. Consistent estimation in the setup under cons…
Asymptotic accuracy in estimation of a fractional signal in a small white noise
M. Kleptsyna, D. Marushkevych, P. Chigansky
This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymp…
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.…