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math.ST2020
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…
math.ST2020★ 1 cited
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…