Statistical Inference for Stochastic ProcessesIn International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems Short Title: Stat. Inference Stoch. Process. Publisher: Springer Netherlands, Dordrecht ISSN: 1387-0874; 1572-9311/e Online: https://link.springer.com/journal/11203/volumes-and-issues Comments: Journal; Indexed cover-to-cover Documents Indexed: 443 Publications (since 1998) References Indexed: 328 Publications with 9,025 References. all top 5 Latest Issues 27, No. 2 (2024) 27, No. 1 (2024) 26, No. 3 (2023) 26, No. 2 (2023) 26, No. 1 (2023) 25, No. 3 (2022) 25, No. 2 (2022) 25, No. 1 (2022) 24, No. 3 (2021) 24, No. 2 (2021) 24, No. 1 (2021) 23, No. 3 (2020) 23, No. 2 (2020) 23, No. 1 (2020) 22, No. 3 (2019) 22, No. 2 (2019) 22, No. 1 (2019) 21, No. 2 (2018) 21, No. 1 (2018) 20, No. 3 (2017) 20, No. 2 (2017) 20, No. 1 (2017) 19, No. 3 (2016) 19, No. 2 (2016) 19, No. 1 (2016) 18, No. 3 (2015) 18, No. 2 (2015) 18, No. 1 (2015) 17, No. 3 (2014) 17, No. 2 (2014) 17, No. 1 (2014) 16, No. 3 (2013) 16, No. 2 (2013) 16, No. 1 (2013) 15, No. 3 (2012) 15, No. 2 (2012) 15, No. 1 (2012) 14, No. 3 (2011) 14, No. 2 (2011) 14, No. 1 (2011) 13, No. 3 (2010) 13, No. 2 (2010) 13, No. 1 (2010) 12, No. 3 (2009) 12, No. 2 (2009) 12, No. 1 (2009) 11, No. 3 (2008) 11, No. 2 (2008) 11, No. 1 (2008) 10, No. 3 (2007) 10, No. 2 (2007) 10, No. 1 (2007) 9, No. 3 (2006) 9, No. 2 (2006) 9, No. 1 (2006) 8, No. 3 (2005) 8, No. 2 (2005) 8, No. 1 (2005) 7, No. 3 (2004) 7, No. 2 (2004) 7, No. 1 (2004) 6, No. 3 (2003) 6, No. 2 (2003) 6, No. 1 (2003) 5, No. 3 (2002) 5, No. 2 (2002) 5, No. 1 (2002) 4, No. 3 (2001) 4, No. 2 (2001) 4, No. 1 (2001) 3, No. 3 (2000) 3, No. 1-2 (2000) 2, No. 3 (1999) 2, No. 2 (1999) 2, No. 1 (1999) 1, No. 3 (1998) 1, No. 2 (1998) 1, No. 1 (1998) all top 5 Authors 12 Kutoyants, Yury A. 11 Yoshida, Nakahiro 10 Uchida, Masayuki 9 Dachian, Sergueï 8 Kleptsyna, Marina L. 7 Taniguchi, Masanobu 5 Höpfner, Reinhard 5 Lang, Gabriel 5 Masuda, Hiroki 5 Mishura, Yuliya Stepanivna 5 Negri, Ilia 4 Aknouche, Abdelhakim 4 Blanke, Delphine 4 Bosq, Denis 4 Brouste, Alexandre 4 Cialenco, Igor 4 Dehling, Herold G. 4 Harel, Michel 4 Hu, Yaozhong 4 Kaino, Yusuke 4 Küchler, Uwe 4 León, José Rafael R. 4 Limnios, Nikolaos 4 Liu, Yan 4 Lototsky, Sergey V. 4 Ngatchou Wandji, Joseph 4 Nkurunziza, Sévérien 4 Pergamenshchikov, Sergeĭ Markovich 4 Shimizu, Yasutaka 4 Tudor, Ciprian A. 4 Wefelmeyer, Wolfgang 3 Biau, Gérard 3 Burnashev, Marat V. 3 Chiba, Kohei 3 Comte, Fabienne 3 Davydov, Youri 3 Dehay, Dominique 3 Dorea, Chang Chung Yu 3 Doukhan, Paul 3 El Machkouri, Mohamed 3 Franke, Brice 3 Galtchouk, Leonid I. 3 Gushchin, Aleksandr Aleksandrovich 3 Hallin, Marc 3 Iacus, Stefano Maria 3 Istas, Jacques 3 Kukush, Oleksandr Georgiĭovych 3 Le Breton, Alain 3 Löcherbach, Eva 3 Mainassara, Yacouba Boubacar 3 Marie, Nicolas 3 Pap, Gyula 3 Podolskij, Mark 3 Sakhanenko, Lyudmila 3 Schick, Anton 3 Soulier, Philippe 3 Tanaka, Katsuto 3 Woerner, Jeannette H. C. 3 Xiong, Jie 2 Abry, Patrice 2 Andriamampionona, Livasoa 2 Ayache, Antoine 2 Azmoodeh, Ehsan 2 Azrak, Rajae 2 Barbu, Vlad Stefan 2 Bardet, Jean-Marc 2 Bercu, Bernard 2 Berlinet, Alain F. 2 Bertrand, Pierre Raphael 2 Bouzebda, Salim 2 Cadre, Benoît 2 Chernoyarov, Oleg V. 2 Chronopoulou, Alexandra 2 Clinet, Simon 2 Coeurjolly, Jean-François 2 Dalalyan, Arnak S. 2 De Gregorio, Alessandro 2 Deheuvels, Paul 2 Didier, Gustavo 2 Dozzi, Marco E. 2 Farinetto, Christian 2 Fazekas, István 2 Figueroa-López, José E. 2 Genon-Catalot, Valentine 2 Giraitis, Liudas 2 Goda, Masatoshi 2 Gonçalves, Cátia Regina 2 Greenwood, Priscilla E. 2 Harison, Victor 2 Kessler, Mathieu 2 Kott, Thomas 2 Koul, Hira Lal 2 Lee, Sangyeol 2 Leonenko, Nikolai N. 2 Lévy Véhel, Jacques 2 Li, Linyuan 2 Liptser, Robert 2 Ludeña, Carenne C. 2 Lyu, Yunhong 2 Marinucci, Domenico ...and 492 more Authors all top 5 Fields 416 Statistics (62-XX) 250 Probability theory and stochastic processes (60-XX) 26 Numerical analysis (65-XX) 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Systems theory; control (93-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Functional analysis (46-XX) 5 Ordinary differential equations (34-XX) 4 Biology and other natural sciences (92-XX) 3 General and overarching topics; collections (00-XX) 3 Partial differential equations (35-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Combinatorics (05-XX) 2 Special functions (33-XX) 2 Geophysics (86-XX) 2 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 History and biography (01-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Differential geometry (53-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Astronomy and astrophysics (85-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 341 Publications have been cited 2,779 times in 1,960 Documents Cited by ▼ Year ▼ Statistical analysis of the fractional Ornstein–Uhlenbeck type process. Zbl 1021.62061 Kleptsyna, M. L.; Le Breton, A. 142 2002 Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths. Zbl 0984.62058 Coeurjolly, Jean-François 87 2001 Estimating some characteristics of the conditional distribution in nonparametric functional models. Zbl 1117.62030 Ferraty, Frédéric; Laksaci, Ali; Vieu, Philippe 85 2006 Estimation of parameters for diffusion processes with jumps from discrete observations. Zbl 1125.62089 Shimizu, Yasutaka; Yoshida, Nakahiro 71 2006 Nonparametric spatial prediction. Zbl 1125.62317 Biau, Gérard; Cadre, Benoît 53 2004 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211 Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 51 2019 General asymptotic confidence bands based on kernel-type function estimators. Zbl 1125.62314 Deheuvels, Paul; Mason, David M. 48 2004 Parameter estimation and optimal filtering for fractional type stochastic systems. Zbl 0966.62069 Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C. 38 2000 The generalized multifractional Brownian motion. Zbl 0979.60023 Ayache, Antoine; Lévy-Véhel, Jacques 37 2000 Statistical inference for SPDEs: an overview. Zbl 1394.60067 Cialenco, Igor 35 2018 Quasi-likelihood analysis for the stochastic differential equation with jumps. Zbl 1225.62114 Ogihara, T.; Yoshida, N. 34 2011 Wavelet estimator of long-range dependent processes. Zbl 1054.62579 Bardet, J. M.; Lang, G.; Moulines, E.; Soulier, P. 33 2000 Hybrid multi-step estimators for stochastic differential equations based on sampled data. Zbl 1329.62110 Kamatani, Kengo; Uchida, Masayuki 32 2015 Asymptotic properties of MLE for partially observed fractional diffusion system. Zbl 1205.60142 Brouste, Alexandre; Kleptsyna, Marina 30 2010 Nonparametric estimation for semi-Markov processes based on its hazard rate functions. Zbl 0958.62077 Ouhbi, Brahim; Limnios, Nikolaos 29 1999 An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302 Takahashi, Akihiko; Yoshida, Nakahiro 29 2004 \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps. Zbl 1125.62088 Shimizu, Yasutaka 28 2006 Information criteria in model selection for mixing processes. Zbl 1092.62595 Uchida, Masayuki; Yoshida, Nakahiro 27 2001 Efficient density estimation for ergodic diffusion processes. Zbl 0953.62085 Kutoyants, Yu. A. 27 1998 Drift estimation for a periodic mean reversion process. Zbl 1209.60047 Dehling, Herold; Franke, Brice; Kott, Thomas 25 2010 Bayesian nonparametric analysis for a generalized Dirichlet process prior. Zbl 1095.62064 Lijoi, Antonio; Mena, Ramsés H.; Prünster, Igor 24 2005 Information criteria for small diffusions via the theory of Malliavin-Watanabe. Zbl 1333.62032 Uchida, Masayuki; Yoshida, Nakahiro 24 2004 Asymptotic expansion for small diffusions applied to option pricing. Zbl 1125.62311 Uchida, Masayuki; Yoshida, Nakahiro 24 2004 Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. Zbl 1333.62200 Uchida, Masayuki; Yoshida, Nakahiro 23 2014 Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type. Zbl 1205.62124 Valdivieso, Luis; Schoutens, Wim; Tuerlinckx, Francis 22 2009 Estimating discontinuous periodic signals in a time inhomogeneous diffusion. Zbl 1209.62195 Höpfner, Reinhard; Kutoyants, Yury 22 2010 A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Zbl 1333.62199 Neuenkirch, Andreas; Tindel, Samy 21 2014 Identification of the Hurst index of a step fractional Brownian motion. Zbl 0982.60081 Benassi, Albert; Bertrand, Pierre; Cohen, Serge; Istas, Jacques 21 2000 Invariance principles for non-isotropic long memory random fields. Zbl 1143.62058 Lavancier, Frédéric 21 2007 Estimation of cusp location by Poisson observations. Zbl 1012.62090 Dachian, S. 20 2003 Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion. Zbl 1274.62563 Mishra, M. N.; Prakasa Rao, B. L. S. 19 2011 Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214 Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C. 19 2017 Estimation of mean and covariance operator of autoregressive processes in Banach spaces. Zbl 1028.62070 Bosq, Denis 19 2002 Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient. Zbl 0981.62035 Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; Schmidt, Peter 19 2000 Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients. Zbl 1125.62093 Azrak, Rajae; Mélard, Guy 18 2006 Approximation of some processes. Zbl 0986.60036 Carmona, Philippe; Coutin, Laure; Montseny, G. 18 2000 Estimation of the instantaneous volatility. Zbl 1243.62129 Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; Savy, Nicolas 18 2012 Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Zbl 1325.60051 Azmoodeh, Ehsan; Viitasaari, Lauri 17 2015 Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Zbl 1011.60018 Kleptsyna, M. L.; Le Breton, A. 17 2002 Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions. Zbl 1056.62092 Kessler, M.; Rahbek, A. 17 2004 Testing epidemic changes of infinite dimensional parameters. Zbl 1110.62060 Račkauskas, Alfredas; Suquet, Charles 16 2006 Large and moderate deviations for estimators of quadratic variational processes of diffusions. Zbl 1059.60501 Djellout, Hacène; Guillin, Arnaud; Wu, Liming 16 1999 Proving consistency of non-standard kernel estimators. Zbl 1242.62028 Mason, David M. 15 2012 Prediction of continuous time processes by \(C_{[0,1]}\)-valued autoregressive process. Zbl 0944.62087 Pumo, Besnik 15 1998 On Castellana-Leadbetter’s condition for diffusion density estimation. Zbl 0958.62078 Veretennikov, A. Yu. 15 1999 On a problem of statistical inference in null recurrent diffusions. Zbl 1012.62091 Höpfner, R.; Kutoyants, Yu. 15 2003 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451 Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 14 2015 Nonparametric regression estimation for random fields in a fixed-design. Zbl 1110.62052 El Machkouri, Mohamed 14 2007 Estimating the density of the residuals in autoregressive models. Zbl 0956.62032 Liebscher, Eckhard 14 1999 Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process. Zbl 1283.62175 Tanaka, Katsuto 14 2013 Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations. Zbl 1079.62084 Dehling, Herold; Sharipov, Olimjon Sh. 14 2005 Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates. Zbl 1008.62081 Lang, Gabriel; Roueff, François 14 2001 An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207 Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel 13 2009 Asymptotic optimality of certain multihypothesis sequential tests: Non-i. i. d. case. Zbl 0943.62080 Tartakovsky, Alexander G. 13 1998 The average periodogram for nonstationary vector time series. Zbl 0966.62061 Robinson, P. M.; Marinucci, D. 13 2000 On inference for fractional differential equations. Zbl 1271.62197 Chronopoulou, Alexandra; Tindel, Samy 13 2013 Improved estimation in a non-Gaussian parametric regression. Zbl 1259.62082 Pchelintsev, Evgeny 13 2013 Asymptotic inference of unstable periodic ARCH processes. Zbl 1236.62010 Aknouche, Abdelhakim; Al-Eid, Eid 13 2012 On uniform laws of large numbers for ergodic diffusions and consistency of estimators. Zbl 1036.60025 Van Zanten, Harry 12 2003 Exact inference for random Dirichlet means. Zbl 1089.62052 Hjort, Nils Lid; Ongaro, Andrea 12 2005 Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process. Zbl 1325.60055 Tanaka, Katsuto 12 2015 Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116 Song, Junmo; Lee, Sangyeol 12 2009 Consistent estimation of covariation under nonsynchronicity. Zbl 1148.62070 Hayashi, Takaki; Kusuoka, Shigeo 12 2008 Stationary distribution function estimation for ergodic diffusion process. Zbl 1061.62553 Negri, Ilia 12 1998 Long memory with seasonal effects. Zbl 0979.60011 Oppenheim, G.; Ould Haye, M.; Viano, M.-C. 12 2000 Asymptotic normality of the Whittle estimator in linear regression models with long memory errors. Zbl 0968.62050 Koul, Hira L.; Surgailis, Donatas 12 2000 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 12 2018 Parameter estimation in diagonalizable bilinear stochastic parabolic equations. Zbl 1205.62143 Cialenco, Igor; Lototsky, Sergey V. 11 2009 On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144 Gapeev, Pavel V.; Küchler, Uwe 11 2008 On approximating max-stable processes and constructing extremal copula functions. Zbl 1205.60102 Zhang, Zhengjun 11 2009 Testing for the mean of random curves: a penalization approach. Zbl 1110.62059 Mas, André 11 2007 Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102 Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy 11 2015 Bidimensional random effect estimation in mixed stochastic differential model. Zbl 1342.62138 Dion, C.; Genon-Catalot, V. 10 2016 Sequential estimation of the parameters in a trigonometric regression model with the Gaussian coloured noise. Zbl 1031.62062 Konev, V.; Pergamenshchikov, S. 10 2003 Asymptotic normality of the Parzen-Rosenblatt density estimator for strongly mixing random fields. Zbl 1274.62235 El Machkouri, Mohamed 10 2011 Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes. Zbl 1204.62151 Schick, Anton; Wefelmeyer, Wolfgang 10 2008 New tests for jumps in semimartingale models. Zbl 1333.62127 Podolskij, M.; Ziggel, D. 10 2010 Frequency polygons for continuous random fields. Zbl 1205.62142 Bensaïd, Nadia; Dabo-Niang, Sophie 10 2010 Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235 Brouste, Alexandre; Masuda, Hiroki 10 2018 Nonparametric estimation in fractional SDE. Zbl 1433.62097 Comte, Fabienne; Marie, Nicolas 10 2019 A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models. Zbl 1292.62130 Ngatchou-Wandji, Joseph; Harel, Michel 10 2013 Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE. Zbl 1006.62068 Dietz, Hans M. 10 2001 Estimation and simulation of autoregressive Hilbertian processes with exogenous variables. Zbl 1076.62087 Damon, Julien; Guillas, Serge 10 2005 Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size. Zbl 1236.62096 Breton, Jean-Christophe; Coeurjolly, Jean-François 10 2012 Hybrid estimators for stochastic differential equations from reduced data. Zbl 1450.62102 Kaino, Yusuke; Uchida, Masayuki 10 2018 Change point testing for the drift parameters of a periodic mean reversion process. Zbl 1333.62194 Dehling, Herold; Franke, Brice; Kott, Thomas; Kulperger, Reg 9 2014 Parameter estimation for stochastic equations with additive fractional Brownian sheet. Zbl 1204.60031 Sottinen, Tommi; Tudor, Ciprian A. 9 2008 Maximum likelihood estimator for hidden Markov models in continuous time. Zbl 1205.62120 Chigansky, Pavel 9 2009 Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes. Zbl 1117.62083 Galtchouk, L.; Pergamenshchikov, S. 9 2006 A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. Zbl 1115.60024 Ayache, Antoine; Bertrand, Pierre; Lévy-Véhel, Jacques 9 2007 Estimation of time varying linear systems. Zbl 0967.62073 Chiann, Chang; Morettin, Pedro A. 9 1999 Maximum likelihood estimation for small noise multiscale diffusions. Zbl 1292.62125 Spiliopoulos, Konstantinos; Chronopoulou, Alexandra 9 2013 On the non-parametric prediction of conditionally stationary sequences. Zbl 1079.62091 Caires, S.; Ferreira, J. A. 9 2005 On determination of the order of a Markov chain. Zbl 1008.62078 Zhao, L. C.; Dorea, C. C. Y.; Gonçalves, C. R. 9 2001 Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data. Zbl 07672039 Bouzebda, Salim; Nemouchi, Boutheina 9 2023 On modeling change points in non-homogeneous Poisson processes. Zbl 1089.62119 Ruggeri, Fabrizio; Sivaganesan, Siva 8 2005 Design for estimation of the drift parameter in fractional diffusion systems. Zbl 1242.62090 Brouste, Alexandre; Kleptsyna, Marina; Popier, Alexandre 8 2012 Periodically correlated autoregressive Hilbertian processes. Zbl 1247.60051 Soltani, A. R.; Hashemi, M. 8 2011 Non-parametric estimation of the diffusion coefficient from noisy data. Zbl 1333.62104 Schmisser, Emeline 8 2012 Parametric estimation for the standard and geometric telegraph process observed at discrete times. Zbl 1204.60088 De Gregorio, Alessandro; Iacus, Stefano Maria 8 2008 Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data. Zbl 07672039 Bouzebda, Salim; Nemouchi, Boutheina 9 2023 On the \(\alpha\)-lazy version of Markov chains in estimation and testing problems. Zbl 07707701 Fried, Sela 1 2023 High-dimensional estimation of quadratic variation based on penalized realized variance. Zbl 07707699 Christensen, Kim; Nielsen, Mikkel Slot; Podolskij, Mark 1 2023 On Stein’s lemma in hypotheses testing in general non-asymptotic case. Zbl 07672040 Burnashev, M. V. 1 2023 Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend. Zbl 1498.60149 Kukush, Alexander; Lohvinenko, Stanislav; Mishura, Yuliya; Ralchenko, Kostiantyn 3 2022 Likelihood theory for the graph Ornstein-Uhlenbeck process. Zbl 07535462 Courgeau, Valentin; Veraart, Almut E. D. 2 2022 Detection and identification of changes of hidden Markov chains: asymptotic theory. Zbl 1493.62481 Dayanik, Savas; Yamazaki, Kazutoshi 2 2022 Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations. Zbl 07535468 Tonaki, Yozo; Kaino, Yusuke; Uchida, Masayuki 2 2022 Estimation of the position and time of emission of a source. Zbl 1493.62497 Chernoyarov, O. V.; Dachian, S.; Farinetto, C.; Kutoyants, Yu. A. 2 2022 Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes. Zbl 07535461 Clinet, Simon 1 2022 Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. Zbl 1493.62503 Lu, Kevin W. 1 2022 Improved estimation method for high dimension semimartingale regression models based on discrete data. Zbl 07594032 Pchelintsev, Evgeny; Pergamenshchikov, Serguei; Leshchinskaya, Maria 1 2022 Randomized consistent statistical inference for random processes and fields. Zbl 07594034 Tempelman, Arkady 1 2022 Adaptive efficient analysis for big data ergodic diffusion models. Zbl 1493.62204 Galtchouk, Leonid I.; Pergamenshchikov, Serge M. 1 2022 Estimating FARIMA models with uncorrelated but non-independent error terms. Zbl 1478.62248 Boubacar Maïnassara, Yacouba; Esstafa, Youssef; Saussereau, Bruno 4 2021 SPHARMA approximations for stationary functional time series on the sphere. Zbl 1477.62396 Caponera, Alessia 4 2021 Nonparametric estimation for i.i.d. paths of fractional SDE. Zbl 1477.62230 Comte, Fabienne; Marie, Nicolas 4 2021 On Neyman-Pearson minimax detection of Poisson process intensity. Zbl 1469.62192 Burnashev, M. V. 3 2021 Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations. Zbl 1471.62452 Haress, El Mehdi; Hu, Yaozhong 3 2021 Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. Zbl 1469.62324 Amorino, Chiara; Gloter, Arnaud 2 2021 Asymptotic distribution of the score test for detecting marks in Hawkes processes. Zbl 1478.62231 Clinet, Simon; Dunsmuir, William T. M.; Peters, Gareth W.; Richards, Kylie-Anne 2 2021 The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes. Zbl 1469.62331 Arfè, Andrea; Peluso, Stefano; Muliere, Pietro 1 2021 Nonparametric estimation for i.i.d. Gaussian continuous time moving average models. Zbl 1469.62219 Comte, Fabienne; Genon-Catalot, Valentine 1 2021 A Kalman particle filter for online parameter estimation with applications to affine models. Zbl 1471.62476 He, Jian; Khedher, Asma; Spreij, Peter 1 2021 Nonparametric model for a tensor field based on high angular resolution diffusion imaging (HARDI). Zbl 1471.62304 Sakhanenko, Lyudmila; DeLaura, Michael; Zhu, David C. 1 2021 Hypotheses testing and posterior concentration rates for semi-Markov processes. Zbl 1477.62228 Votsi, I.; Gayraud, G.; Barbu, V. S.; Limnios, N. 1 2021 Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach. Zbl 1471.62445 Abu-Awwad, A.; Maume-Deschamps, V.; Ribereau, P. 1 2021 Hawkes process and Edgeworth expansion with application to maximum likelihood estimator. Zbl 1471.62447 Goda, Masatoshi 1 2021 Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084 Cheng, Yiying; Hu, Yaozhong; Long, Hongwei 8 2020 Parametric inference for hypoelliptic ergodic diffusions with full observations. Zbl 1465.62047 Melnykova, Anna 7 2020 An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter. Zbl 1450.62097 Chiba, Kohei 5 2020 A minimal contrast estimator for the linear fractional stable motion. Zbl 1454.60052 Ljungdahl, Mathias Mørck; Podolskij, Mark 5 2020 Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion. Zbl 1450.62042 Tudor, Ciprian A.; Yoshida, Nakahiro 5 2020 Statistical analysis of some evolution equations driven by space-only noise. Zbl 1436.62085 Cialenco, Igor; Kim, Hyun-Jung; Lototsky, Sergey V. 4 2020 Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean. Zbl 1434.60167 Shevchenko, Radomyra; Tudor, Ciprian A. 4 2020 Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise. Zbl 1451.62097 Brouste, Alexandre; Cai, Chunhao; Soltane, Marius; Wang, Longmin 4 2020 Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process. Zbl 1469.62220 Dion, Charlotte; Lemler, Sarah 4 2020 Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations. Zbl 1436.62077 Clairon, Quentin; Samson, Adeline 3 2020 Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142 Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian 3 2020 Oscillating Gaussian processes. Zbl 1459.60082 Ilmonen, Pauliina; Torres, Soledad; Viitasaari, Lauri 3 2020 On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models. Zbl 1436.62429 Ivanov, A. V.; Leonenko, N. N.; Orlovskyi, I. V. 2 2020 Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. Zbl 1437.62099 Kaino, Yusuke; Nakakita, Shogo H.; Uchida, Masayuki 2 2020 Parameter identification for the Hermite Ornstein-Uhlenbeck process. Zbl 1448.60118 Assaad, Obayda; Tudor, Ciprian A. 2 2020 Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process. Zbl 1448.60117 Tanaka, Katsuto 2 2020 The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities. Zbl 1465.62031 Pandhare, S. C.; Ramanathan, T. V. 2 2020 Inference in a multivariate generalized mean-reverting process with a change-point. Zbl 1441.62144 Nkurunziza, Sévérien; Shen, Lei 1 2020 Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion. Zbl 1453.62439 Bertin, Karine; Klutchnikoff, Nicolas; Panloup, Fabien; Varvenne, Maylis 1 2020 Simultaneous testing of change-point location and of a regular parameter by Poisson observations. Zbl 1469.62245 Dachian, Sergueï; Yang, Lin 1 2020 Optimal iterative threshold-kernel estimation of jump diffusion processes. Zbl 1465.62141 Figueroa-López, José E.; Li, Cheng; Nisen, Jeffrey 1 2020 Recursive nonparametric regression estimation for dependent strong mixing functional data. Zbl 1465.62076 Slaoui, Yousri 1 2020 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211 Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 51 2019 Nonparametric estimation in fractional SDE. Zbl 1433.62097 Comte, Fabienne; Marie, Nicolas 10 2019 The Dantzig selector for a linear model of diffusion processes. Zbl 1431.62231 Fujimori, Kou 5 2019 Nonparametric recursive estimation of the derivative of the regression function with application to sea shores water quality. Zbl 1419.62498 Bercu, Bernard; Capderou, Sami; Durrieu, Gilles 4 2019 Data driven time scale in Gaussian quasi-likelihood inference. Zbl 1433.62247 Eguchi, Shoichi; Masuda, Hiroki 3 2019 Estimation of the mean in partially observed branching processes with general immigration. Zbl 1432.60079 Rahimov, I. 3 2019 Two-step wavelet-based estimation for Gaussian mixed fractional processes. Zbl 1420.62366 Abry, Patrice; Didier, Gustavo; Li, Hui 3 2019 Robust adaptive efficient estimation for semi-Markov nonparametric regression models. Zbl 1420.62168 Barbu, Vlad Stefan; Beltaief, Slim; Pergamenshchikov, Sergey 3 2019 Empirical \(L^2\)-distance test statistics for ergodic diffusions. Zbl 1426.62239 De Gregorio, A.; Iacus, S. M. 3 2019 An inverse problem for infinitely divisible moving average random fields. Zbl 1425.62130 Karcher, Wolfgang; Roth, Stefan; Spodarev, Evgeny; Walk, Corinna 3 2019 Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions. Zbl 1432.62285 Chiba, Kohei 2 2019 On conditional least squares estimation for affine diffusions based on continuous time observations. Zbl 1428.60113 Bolyog, Beáta; Pap, Gyula 2 2019 On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes. Zbl 1425.62129 Soltani, A. R.; Nematollahi, A. R.; Mahmoudi, M. R. 2 2019 Second-order properties of thresholded realized power variations of FJA additive processes. Zbl 1434.62038 Figueroa-López, José E.; Nisen, Jeffrey 1 2019 Asymptotic behavior of nonparametric estimators of the two-dimensional and bivariate renewal functions. Zbl 1423.60043 Harel, Michel; Andriamampionona, Livasoa; Harison, Victor 1 2019 Nonparametric Gaussian inference for stable processes. Zbl 1432.62308 Mies, Fabian; Steland, Ansgar 1 2019 Statistical inference for SPDEs: an overview. Zbl 1394.60067 Cialenco, Igor 35 2018 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 12 2018 Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235 Brouste, Alexandre; Masuda, Hiroki 10 2018 Hybrid estimators for stochastic differential equations from reduced data. Zbl 1450.62102 Kaino, Yusuke; Uchida, Masayuki 10 2018 Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data. Zbl 06860591 Pergamenchtchikov, Serguei; Tartakovsky, Alexander G. 8 2018 Trajectory fitting estimators for SPDEs driven by additive noise. Zbl 1393.60065 Cialenco, Igor; Gong, Ruoting; Huang, Yicong 6 2018 Non-parametric estimation of the spiking rate in systems of interacting neurons. Zbl 1393.62012 Hodara, P.; Krell, N.; Löcherbach, E. 6 2018 Estimation and testing in generalized mean-reverting processes with change-point. Zbl 06860590 Nkurunziza, Sévérien; Zhang, Pei Patrick 6 2018 Estimation of cusp location of stochastic processes: a survey. Zbl 1450.62098 Dachian, S.; Kordzakhia, N.; Kutoyants, Yu. A.; Novikov, A. 6 2018 A non-parametric Bayesian approach to decompounding from high frequency data. Zbl 1395.62079 Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter 5 2018 Oracle inequalities for the stochastic differential equations. Zbl 1403.62064 Pchelintsev, E. A.; Pergamenshchikov, S. M. 4 2018 Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients. Zbl 06860587 Jin, Sixian; Peng, Qidi; Schellhorn, Henry 3 2018 Estimating linear functionals of a sparse family of Poisson means. Zbl 06916514 Collier, Olivier; Dalalyan, Arnak S. 2 2018 Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation. Zbl 1395.60042 Dozzi, Marco; Kozachenko, Yuriy; Mishura, Yuliya; Ralchenko, Kostiantyn 2 2018 Nonparametric estimation for irregularly sampled Lévy processes. Zbl 1405.62113 Kappus, Johanna 2 2018 Optimal dimension reduction for high-dimensional and functional time series. Zbl 1450.62111 Hallin, Marc; Hörmann, Siegfried; Lippi, Marco 2 2018 Polygonal smoothing of the empirical distribution function. Zbl 1401.62050 Blanke, Delphine; Bosq, Denis 1 2018 Statistical inference of 2-type critical Galton-Watson processes with immigration. Zbl 1391.60212 Körmendi, Kristóf; Pap, Gyula 1 2018 Translation invariant statistical experiments with independent increments. Zbl 1403.62012 Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander 1 2018 Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214 Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C. 19 2017 Autoregressive functions estimation in nonlinear bifurcating autoregressive models. Zbl 1459.62167 Bitseki Penda, S. Valère; Olivier, Adélaïde 7 2017 Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Zbl 1369.62215 Koike, Yuta 7 2017 Asymptotic normality of quadratic forms of martingale differences. Zbl 06821278 Giraitis, Liudas; Taniguchi, Masanobu; Taqqu, Murad S. 4 2017 The asymptotics of misspecified MLEs for some stochastic processes: a survey. Zbl 06821280 Kutoyants, Yury A. 4 2017 Periodic autoregressive stochastic volatility. Zbl 06800560 Aknouche, Abdelhakim 3 2017 Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph. Zbl 06800562 Gobet, Emmanuel; Matulewicz, Gustaw 3 2017 The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points. Zbl 1380.60082 Messer, Michael; Schneider, Gaby 3 2017 Memory properties of transformations of linear processes. Zbl 1369.62236 Sang, Hailin; Sang, Yongli 3 2017 Two-step estimation of ergodic Lévy driven SDE. Zbl 1369.62216 Masuda, Hiroki; Uehara, Yuma 3 2017 Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. Zbl 06800563 Lee, Wooyong; Greenwood, Priscilla E.; Heckman, Nancy; Wefelmeyer, Wolfgang 2 2017 Circular autocorrelation of stationary circular Markov processes. Zbl 06821276 Abe, Toshihiro; Ogata, Hiroaki; Shiohama, Takayuki; Taniai, Hiroyuki 2 2017 Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models. Zbl 06821277 Akashi, Fumiya 2 2017 Time series regression models with locally stationary disturbance. Zbl 06821279 Hirukawa, Junichi 1 2017 Moment convergence of \(Z\)-estimators. Zbl 1380.62104 Negri, Ilia; Nishiyama, Yoichi 1 2017 ...and 241 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,232 Authors 37 Kutoyants, Yury A. 32 Bouzebda, Salim 32 Tudor, Ciprian A. 30 Laksaci, Ali 27 Yoshida, Nakahiro 24 Uchida, Masayuki 22 Es-Sebaiy, Khalifa 22 Prakasa Rao, B. L. S. 21 Dabo-Niang, Sophie 15 Jiang, Hui 15 Limnios, Nikolaos 15 Pergamenshchikov, Sergeĭ Markovich 15 Surgailis, Donatas 14 Bardet, Jean-Marc 14 Mishura, Yuliya Stepanivna 14 Podolskij, Mark 14 Schick, Anton 14 Shimizu, Yasutaka 14 Takahashi, Akihiko 14 Wefelmeyer, Wolfgang 13 Cialenco, Igor 13 Kleptsyna, Marina L. 13 Ould-Saïd, Elias 12 Brouste, Alexandre 12 Dachian, Sergueï 12 Hu, Yaozhong 12 Masuda, Hiroki 12 Ruiz-Medina, María Dolores 11 Gloter, Arnaud 11 Marie, Nicolas 11 Ralchenko, Kostiantyn V. 11 Zhang, Xuekang 10 Bosq, Denis 10 Doukhan, Paul 10 Kaino, Yusuke 10 Leonenko, Nikolai N. 10 Löcherbach, Eva 10 Shen, Guangjun 10 Taqqu, Murad S. 10 Torres, Soledad 10 Vieu, Philippe 9 Anh, Vo V. 9 Blanke, Delphine 9 De Gregorio, Alessandro 9 Mishra, Mahendra Nath 9 Rachdi, Mustapha 9 Xiao, Weilin 8 Aknouche, Abdelhakim 8 Amorino, Chiara 8 Bianchi, Sergio 8 Coeurjolly, Jean-François 8 Comte, Fabienne 8 El Machkouri, Mohamed 8 Iacus, Stefano Maria 8 Koike, Yuta 8 Kubilius, Kȩstutis 8 Negri, Ilia 8 Nkurunziza, Sévérien 8 Pchelintsev, Evgeniĭ Anatol’evich 8 Shu, Huisheng 8 Viens, Frederi G. 8 Viitasaari, Lauri 8 Zhang, Zhengjun 7 Barbu, Vlad Stefan 7 Bibinger, Markus 7 Bücher, Axel 7 Chernoyarov, Oleg V. 7 Galtchouk, Leonid I. 7 Gao, Fuqing 7 Höpfner, Reinhard 7 Ivanov, Aleksandr Vladimirovich 7 Lavancier, Frédéric 7 Madani, Fethi 7 Nishiyama, Yoichi 7 Pianese, Augusto 7 Prünster, Igor 7 Račkauskas, Alfredas Yurgevich 7 Rosenbaum, Mathieu 7 Tartakovsky, Alexander G. 7 Yan, Litan 7 Zhang, Li-Xin 6 Alazemi, Fares 6 Beran, Jan 6 Bitseki Penda, S. Valère 6 Cai, Chunhao 6 Clausel, Marianne 6 Dette, Holger 6 Ferraty, Frédéric 6 Hoffmann, Marc 6 Konev, Victor 6 Küchler, Uwe 6 León, José Rafael R. 6 Long, Hongwei 6 Mainassara, Yacouba Boubacar 6 Mason, David Michael 6 Nourdin, Ivan 6 Nualart, David 6 Pap, Gyula 6 Rabhi, Abbes 6 Reiß, Markus ...and 2,132 more Authors all top 5 Cited in 269 Journals 155 Statistical Inference for Stochastic Processes 100 Stochastic Processes and their Applications 96 Statistics & Probability Letters 95 Communications in Statistics. Theory and Methods 76 Electronic Journal of Statistics 64 Journal of Statistical Planning and Inference 56 Journal of Multivariate Analysis 51 Bernoulli 45 Journal of Econometrics 42 Journal of Nonparametric Statistics 39 Annals of the Institute of Statistical Mathematics 38 Comptes Rendus. Mathématique. Académie des Sciences, Paris 36 Scandinavian Journal of Statistics 32 The Annals of Statistics 31 Statistics 29 Journal of Time Series Analysis 28 Journal of Theoretical Probability 26 Stochastic Analysis and Applications 26 Mathematical Methods of Statistics 23 Computational Statistics and Data Analysis 23 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 21 Sequential Analysis 21 Stochastics and Dynamics 18 Methodology and Computing in Applied Probability 17 Theory of Probability and Mathematical Statistics 17 Econometric Theory 17 Japanese Journal of Statistics and Data Science 16 Stochastics 15 Metrika 15 Statistical Papers 14 Journal of Applied Probability 13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 13 Modern Stochastics. Theory and Applications 11 Communications in Statistics. Simulation and Computation 11 Random Operators and Stochastic Equations 11 Quantitative Finance 11 Statistical Methods and Applications 11 Journal of the Korean Statistical Society 11 Journal of Statistical Theory and Practice 10 Journal of Mathematical Analysis and Applications 10 International Journal of Theoretical and Applied Finance 9 Computational Statistics 9 Mathematical Problems in Engineering 9 The Annals of Applied Statistics 8 Journal of Statistical Computation and Simulation 8 Asia-Pacific Financial Markets 8 Statistics and Computing 7 The Canadian Journal of Statistics 7 Physica A 7 Theory of Probability and its Applications 7 The Annals of Probability 7 Applied Mathematics and Computation 7 Probability Theory and Related Fields 7 Econometric Reviews 7 The Annals of Applied Probability 7 Brazilian Journal of Probability and Statistics 7 Stochastic Models 7 Acta Mathematica Scientia. Series B. (English Edition) 7 Sankhyā. Series A 6 Advances in Applied Probability 6 Lithuanian Mathematical Journal 6 Journal of the American Statistical Association 6 Test 6 Journal of Applied Statistics 6 Acta Mathematica Sinica. English Series 6 Advances in Difference Equations 6 Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika 5 Chaos, Solitons and Fractals 5 Insurance Mathematics & Economics 5 Statistical Methodology 4 Journal of Statistical Physics 4 Problems of Information Transmission 4 Mathematics of Operations Research 4 Statistica 4 Statistica Neerlandica 4 Fractals 4 Chaos 4 Communications in Nonlinear Science and Numerical Simulation 4 Discrete and Continuous Dynamical Systems. Series B 4 Applications and Applied Mathematics 4 ALEA. Latin American Journal of Probability and Mathematical Statistics 4 Acta Universitatis Sapientiae. Mathematica 4 Science China. Mathematics 4 Journal of Probability and Statistics 4 Journal of the Japan Statistical Society. Japanese Issue 3 Nonlinearity 3 Automatica 3 Journal of Computational and Applied Mathematics 3 Physica D 3 Statistical Science 3 Applications of Mathematics 3 Automation and Remote Control 3 Applied and Computational Harmonic Analysis 3 Journal of Mathematical Sciences (New York) 3 Statistica Sinica 3 Monte Carlo Methods and Applications 3 Electronic Journal of Probability 3 Finance and Stochastics 3 Studies in Nonlinear Dynamics and Econometrics 3 Australian & New Zealand Journal of Statistics ...and 169 more Journals all top 5 Cited in 36 Fields 1,594 Statistics (62-XX) 1,197 Probability theory and stochastic processes (60-XX) 146 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 132 Numerical analysis (65-XX) 56 Systems theory; control (93-XX) 39 Biology and other natural sciences (92-XX) 37 Partial differential equations (35-XX) 35 Harmonic analysis on Euclidean spaces (42-XX) 23 Ordinary differential equations (34-XX) 20 Dynamical systems and ergodic theory (37-XX) 20 Information and communication theory, circuits (94-XX) 16 Functional analysis (46-XX) 15 Operations research, mathematical programming (90-XX) 13 Computer science (68-XX) 13 Geophysics (86-XX) 12 Integral equations (45-XX) 12 Statistical mechanics, structure of matter (82-XX) 7 Real functions (26-XX) 7 Approximations and expansions (41-XX) 7 Operator theory (47-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 5 General and overarching topics; collections (00-XX) 5 Measure and integration (28-XX) 5 Special functions (33-XX) 4 Integral transforms, operational calculus (44-XX) 2 Sequences, series, summability (40-XX) 2 Differential geometry (53-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Fluid mechanics (76-XX) 2 Quantum theory (81-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Mechanics of particles and systems (70-XX) 1 Mechanics of deformable solids (74-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year