Statistical Inference for Stochastic Processes

Title Publication Date Language Citations
Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations2006/10/01English88
Estimating Some Characteristics of the Conditional Distribution in Nonparametric Functional Models2006/05/01English81
Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter2017/11/12English56
New tests for jumps in semimartingale models2009/12/19English48
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type2008/04/29English40
Statistical inference for SPDEs: an overview2018/02/22English38
Quasi-likelihood analysis for the stochastic differential equation with jumps2011/08/12English37
Asymptotic properties of MLE for partially observed fractional diffusion system2009/12/19English34
Hybrid multi-step estimators for stochastic differential equations based on sampled data2014/10/16English34
M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps2006/07/01English32
Drift estimation for a periodic mean reversion process2010/10/01English28
Bayesian Nonparametric Analysis for a Generalized Dirichlet Process Prior2005/12/01English28
Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients2006/10/01English27
Estimation of the instantaneous volatility2011/12/23English26
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise2013/11/05English26
Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind2014/12/25English25
Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations2014/04/01English25
Invariance principles for non-isotropic long memory random fields2007/04/25English23
Estimating discontinuous periodic signals in a time inhomogeneous diffusion2010/10/01English22
On Modeling Change Points in Non-Homogeneous Poisson Processes2005/12/01English20
Estimation and Simulation of Autoregressive Hilbertian Processes with Exogenous Variables2005/09/01English20
Proving consistency of non-standard kernel estimators2012/05/26English20
Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean2016/05/05English20
Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process2013/10/01English19
Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion2011/01/12English18
Weak-convergence of empirical conditional processes and conditional U-processes involving functional mixing data2022/07/25English18
Exact Inference for Random Dirichlet Means2005/12/01English17
Parameter estimation for the Langevin equation with stationary-increment Gaussian noise2017/01/24English17
Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data2016/10/14English17
Testing Epidemic Changes of Infinite Dimensional Parameters2006/07/01English17