2 citations · 3 across the 2 of their papers we have counts for
4 papers
Stochastic representation and pathwise properties of fractional Cox-Ingersoll-Ross process
Yuliya Mishura, Vladimir I. Piterbarg, Kostiantyn Ralchenko +1
We consider the fractional Cox-Ingersoll-Ross process satisfying the stochastic differential equation (SDE) driven by a fractional Brownian…
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
Alexander Kukush, Yuliya Mishura, Kostiantyn Ralchenko
We consider the fractional Ornstein-Uhlenbeck process with an unknown drift parameter and known Hurst parameter . We propose a new method to test the hypothesis of the sign of t…
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
Marco Dozzi, Yuriy Kozachenko, Yuliya Mishura +1
We construct the least-square estimator for the unknown drift parameter in the multifractional Ornstein-Uhlenbeck model and establish its strong consistency in the non-ergodic case…
Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
Kostiantyn Ralchenko
We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.