64 citations · 320 across the 79 of their papers we have counts for
4 papers · 1 filter
Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion
Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar
The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-…
Gaussian Volterra processes: asymptotic growth and statistical estimation
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The paper is devoted to three-parametric self-similar Gaussian Volterra processes that generalize fractional Brownian motion. We study the asymptotic growth of such processes and t…
Asymptotic expansion of an estimator for the Hurst coefficient
Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the di…
Parameter estimation in CKLS model by continuous observations
Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar
We consider a stochastic differential equation of the form , where , and are positive constants, . We study the esti…