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most citedA criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process

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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…