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math.PR2020
Gaussian processes with Volterra kernels
Yuliya Mishura, Georgiy Shevchenko, Sergiy Shklyar
We study Volterra processes , where is a standard Wiener process, and the kernel has the form . This form gen…
math.PR2018
Consistency of the total least squares estimator in the linear errors-in-variables regression
Sergiy Shklyar
This paper deals with a homoskedastic errors-in-variables linear regression model and properties of the total least squares (TLS) estimator. We partly revise the consistency result…
math.PR2018
Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form , where $B…