4 papers
Parameter estimation for Vasicek model driven by a general Gaussian noise
Xingzhi Pei
This paper developed an inference problem for Vasicek model driven by a general Gaussian process. We construct a least squares estimator and a moment estimator for the drift parame…
Second Moment Estimator for An AR(1) Model Driven by A Long Memory Gaussian Noise
Yong Chen, Li Tian, Ying Li
In this paper, we consider an inference problem for the first order autoregressive process driven by a long memory stationary Gaussian process. Suppose that the covariance function…
Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes
Yong Chen, Nenghui Kuang, Ying Li
For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index , we show the Berry-Esséen bound of the least squares estimator of t…
On the Jordan decomposition for a class of non-symmetric Ornstein-Uhlenbeck operators
Yong Chen, Ying Li
In this paper, we calculate the Jordan decomposition (or say, the Jordan canonical form) for a class of non-symmetric Ornstein-Uhlenbeck operators with the drift coefficient matrix…