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math.PR2016
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…
math.PR2016
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…