Parameter estimation for SDEs related to stationary Gaussian processes
Probability
2015-01-22 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we study central and non-central limit theorems for partial sum of functionals of general stationary Gaussian fields. We apply our result to study drift parameter estimation problems for some stochastic differential equations related to stationary Gaussian processes.
Cite
@article{arxiv.1501.04970,
title = {Parameter estimation for SDEs related to stationary Gaussian processes},
author = {Khalifa Es-Sebaiy and Frederi G. Viens},
journal= {arXiv preprint arXiv:1501.04970},
year = {2015}
}