18 citations · 28 across the 5 of their papers we have counts for
5 papers
Parameter estimation for an Ornstein-Uhlenbeck Process driven by a general Gaussian noise with Hurst Parameter
Yong Chen, Xiangmeng Gu, Ying Li
In Chen and Zhou 2021, they consider an inference problem for an Ornstein-Uhlenbeck process driven by a general one-dimensional centered Gaussian process . The seco…
Parameter estimation for an Ornstein-Uhlenbeck Process driven by a general Gaussian noise
Yong Chen, Hongjuan Zhou
In this paper, we consider an inference problem for an Ornstein-Uhlenbeck process driven by a general one-dimensional centered Gaussian process . The second order m…
Total variation estimates in the Breuer-Major theorem
David Nualart, Hongjuan Zhou
This paper provides estimates for the convergence rate of the total variation distance in the framework of the Breuer-Major theorem, assuming some smoothness properties of the unde…
Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
Yaozhong Hu, David Nualart, Hongjuan Zhou
We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coeffcient is one-sided dissipat…
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
Yaozhong Hu, David Nualart, Hongjuan Zhou
This paper provides several statistical estimators for the drift and volatility parameters of an Ornstein-Uhlenbeck process driven by fractional Brownian motion, whose observations…