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math.ST2025
Optimal Estimation for General Gaussian Processes
Tetsuya Takabatake, Jun Yu, Chen Zhang
This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE)…
math.ST2016
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Masaaki Fukasawa, Tetsuya Takabatake
This paper proposes feasible asymptotically efficient estimators for a certain class of Gaussian noises with self-similar and stationary properties, which includes the fractional G…