We estimate the drift parameter in a simple linear model driven by sub-fractional Brownian motion. We construct a maximum likelihood estimator (MLE) for the drift parameter by using a random walk approximation of the sub-fractional Brownian motion and study the asymptotic behaviors of the...

Based on data characteristics and nonparametric test, a new statistical temporal change analysis approach is proposed. The new approach consists of data characteristics analysis, temporal change analysis (including both change point and trend analysis), and result interpretation. Data...

This paper studies hypothesis testing in Rayleigh diffusion processes. With the help of large and moderate deviations for the log-likelihood ratio process, we give the negative regions and obtain the decay rates of the error probabilities. Copyright Springer-Verlag 2013