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Asymptotic Properties of a Class of Mixture Models for Failure Data: The Interior and Boundary Cases

Vu, H.; Maller, R.; Zhou, X. - In: Annals of the Institute of Statistical Mathematics 50 (1998) 4, pp. 627-653

Persistent link: https://www.econbiz.de/10005395742

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

Szimayer, A.; Maller, R. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 95-113

Persistent link: https://www.econbiz.de/10005616007

Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times

Baltrunas, A.; Daley, D. J.; Klüppelberg, C. - In: Stochastic Processes and their Applications 111 (2004) 2, pp. 237-258

This paper considers a stable GI/GI/1 queue with subexponential service time distribution. Under natural assumptions we derive the tail behaviour of the busy period of this queue. We extend the results known for the regular variation case under minimal conditions. Our method of proof is based on...

Persistent link: https://www.econbiz.de/10008875740

Method of moment estimation in the COGARCH(1,1) model

Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. - In: Econometrics Journal 10 (2007) 2, pp. 320-341

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and...

Persistent link: https://www.econbiz.de/10005100103