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Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model |
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| Authors: | Es-Sebaiy Khalifa Es.Sebaiy Mohammed |
| Affiliation: | 1.Department of Mathematics, Faculty of Science, Kuwait University, Kuwait City, Kuwait ;2.National School of Applied Sciences-Marrakech, Cadi Ayyad University, Marrakech, Morocco ; |
| Abstract: | Statistical Methods & Applications - We study a problem of parameter estimation for a non-ergodic Gaussian Vasicek-type model defined as $$dX_t=theta (mu + X_t)dt+dG_t, tge 0$$ with unknown... |
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