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Modern Stochastics: Theory and Applications


Cited by 12
Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence

Description and Properties of the Basic Stochastic Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_1
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 1
Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_5
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 161
Drift Parameter Estimation in the Models Involving Fractional Brownian Motion
Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-65313-6_10
Book  Springer Proceedings in Mathematics & Statistics (Modern Problems of Stochastic Analysis and Statistics) Volume 208 (2017), p. 237
Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_3
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 75
Maximum Likelihood Estimation in the Mixed Fractional Vasicek Model
B. L. S. Prakasa Rao
https://doi.org/10.1007/s41096-020-00094-8
Journal  Journal of the Indian Society for Probability and Statistics Volume 22, Issue 1 (2021), p. 9
Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions
Yuliya Mishura, Kostiantyn Ralchenko, Hanna Zhelezniak
https://doi.org/10.1080/03610918.2022.2099556
Journal  Communications in Statistics - Simulation and Computation Volume 53, Issue 7 (2024), p. 3206
Parameter Estimation for Gaussian Processes with Application to the Model with Two Independent Fractional Brownian Motions
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
https://doi.org/10.1007/978-3-030-02825-1_6
Book  Springer Proceedings in Mathematics & Statistics (Stochastic Processes and Applications) Volume 271 (2018), p. 123
Parameter Estimation in the Mixed Models via Power Variations
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_4
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 125
Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
Kostiantyn Ralchenko ORCID icon link to view author Kostiantyn Ralchenko details   Mykyta Yakovliev ORCID icon link to view author Mykyta Yakovliev details  
https://doi.org/10.15559/23-VMSTA234
Pub. online: 5 Dec 2023      Type: Research Article      Open accessOpen Access
Journal:  Modern Stochastics: Theory and Applications Volume 11, Issue 1 (2024), pp. 1–29
   Abstract
Stein estimators for the drift of the mixing of two fractional Brownian motions
Kouider Djerfi, Ghaouti Djellouli, Fethi Madani
https://doi.org/10.1080/03610926.2022.2122838
Journal  Communications in Statistics - Theory and Methods Volume 53, Issue 6 (2024), p. 1891
The Extended Orey Index for Gaussian Processes
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_6
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 269
The Hurst Index Estimators for a Fractional Brownian Motion
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_2
Book  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 45


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