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: 423 Publications (since 1998) References Indexed: 308 Publications with 8,353 References. all top 5 Latest Issues 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 11 Kutoyants, Yury A. 10 Yoshida, Nakahiro 9 Uchida, Masayuki 8 Dachian, Sergueï 8 Kleptsyna, Marina L. 6 Taniguchi, Masanobu 5 Höpfner, Reinhard 5 Lang, Gabriel 5 Masuda, Hiroki 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 Küchler, Uwe 4 León, José Rafael R. 4 Lototsky, Sergey V. 4 Mishura, Yuliya Stepanivna 4 Pergamenshchikov, Sergeĭ Markovich 4 Tudor, Ciprian A. 4 Wefelmeyer, Wolfgang 3 Biau, Gérard 3 Burnashev, Marat V. 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 Kaino, Yusuke 3 Kukush, Oleksandr Georgiĭovych 3 Le Breton, Alain 3 Limnios, Nikolaos 3 Liu, Yan 3 Löcherbach, Eva 3 Mainassara, Yacouba Boubacar 3 Ngatchou Wandji, Joseph 3 Pap, Gyula 3 Podolskij, Mark 3 Sakhanenko, Lyudmila 3 Schick, Anton 3 Shimizu, Yasutaka 3 Soulier, Philippe 3 Tanaka, Katsuto 3 Woerner, Jeannette H. C. 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 Cadre, Benoît 2 Chiba, Kohei 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 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 Marie, Nicolas 2 Marinucci, Domenico 2 Mason, David M. 2 Mélard, Guy 2 Monsan, Vincent 2 Muliere, Pietro 2 Nisen, Jeffrey A. 2 Nishiyama, Yoichi ...and 468 more Authors all top 5 Fields 396 Statistics (62-XX) 248 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 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 Special functions (33-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 325 Publications have been cited 2,466 times in 1,745 Documents Cited by ▼ Year ▼ Statistical analysis of the fractional Ornstein–Uhlenbeck type process. Zbl 1021.62061Kleptsyna, M. L.; Le Breton, A. 132 2002 Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths. Zbl 0984.62058Coeurjolly, Jean-François 83 2001 Estimating some characteristics of the conditional distribution in nonparametric functional models. Zbl 1117.62030Ferraty, Frédéric; Laksaci, Ali; Vieu, Philippe 79 2006 Estimation of parameters for diffusion processes with jumps from discrete observations. Zbl 1125.62089Shimizu, Yasutaka; Yoshida, Nakahiro 63 2006 Nonparametric spatial prediction. Zbl 1125.62317Biau, Gérard; Cadre, Benoît 49 2004 General asymptotic confidence bands based on kernel-type function estimators. Zbl 1125.62314Deheuvels, Paul; Mason, David M. 44 2004 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 39 2019 The generalized multifractional Brownian motion. Zbl 0979.60023Ayache, Antoine; Lévy-Véhel, Jacques 36 2000 Parameter estimation and optimal filtering for fractional type stochastic systems. Zbl 0966.62069Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C. 36 2000 Wavelet estimator of long-range dependent processes. Zbl 1054.62579Bardet, J. M.; Lang, G.; Moulines, E.; Soulier, P. 33 2000 Quasi-likelihood analysis for the stochastic differential equation with jumps. Zbl 1225.62114Ogihara, T.; Yoshida, N. 31 2011 Nonparametric estimation for semi-Markov processes based on its hazard rate functions. Zbl 0958.62077Ouhbi, Brahim; Limnios, Nikolaos 29 1999 Asymptotic properties of MLE for partially observed fractional diffusion system. Zbl 1205.60142Brouste, Alexandre; Kleptsyna, Marina 28 2010 Hybrid multi-step estimators for stochastic differential equations based on sampled data. Zbl 1329.62110Kamatani, Kengo; Uchida, Masayuki 28 2015 An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302Takahashi, Akihiko; Yoshida, Nakahiro 27 2004 \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps. Zbl 1125.62088Shimizu, Yasutaka 26 2006 Information criteria in model selection for mixing processes. Zbl 1092.62595Uchida, Masayuki; Yoshida, Nakahiro 26 2001 Statistical inference for SPDEs: an overview. Zbl 1394.60067Cialenco, Igor 26 2018 Efficient density estimation for ergodic diffusion processes. Zbl 0953.62085Kutoyants, Yu. A. 25 1998 Bayesian nonparametric analysis for a generalized Dirichlet process prior. Zbl 1095.62064Lijoi, Antonio; Mena, Ramsés H.; Prünster, Igor 22 2005 Estimating discontinuous periodic signals in a time inhomogeneous diffusion. Zbl 1209.62195Höpfner, Reinhard; Kutoyants, Yury 22 2010 Information criteria for small diffusions via the theory of Malliavin-Watanabe. Zbl 1333.62032Uchida, Masayuki; Yoshida, Nakahiro 22 2004 Drift estimation for a periodic mean reversion process. Zbl 1209.60047Dehling, Herold; Franke, Brice; Kott, Thomas 21 2010 Invariance principles for non-isotropic long memory random fields. Zbl 1143.62058Lavancier, Frédéric 21 2007 Asymptotic expansion for small diffusions applied to option pricing. Zbl 1125.62311Uchida, Masayuki; Yoshida, Nakahiro 21 2004 Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. Zbl 1333.62200Uchida, Masayuki; Yoshida, Nakahiro 20 2014 Estimation of mean and covariance operator of autoregressive processes in Banach spaces. Zbl 1028.62070Bosq, Denis 18 2002 Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient. Zbl 0981.62035Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; Schmidt, Peter 18 2000 A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Zbl 1333.62199Neuenkirch, Andreas; Tindel, Samy 18 2014 Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Zbl 1011.60018Kleptsyna, M. L.; Le Breton, A. 17 2002 Estimation of cusp location by Poisson observations. Zbl 1012.62090Dachian, S. 17 2003 Identification of the Hurst index of a step fractional Brownian motion. Zbl 0982.60081Benassi, Albert; Bertrand, Pierre; Cohen, Serge; Istas, Jacques 17 2000 Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type. Zbl 1205.62124Valdivieso, Luis; Schoutens, Wim; Tuerlinckx, Francis 17 2009 Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C. 17 2017 Approximation of some processes. Zbl 0986.60036Carmona, Philippe; Coutin, Laure; Montseny, G. 16 2000 Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Zbl 1325.60051Azmoodeh, Ehsan; Viitasaari, Lauri 16 2015 Testing epidemic changes of infinite dimensional parameters. Zbl 1110.62060Račkauskas, Alfredas; Suquet, Charles 15 2006 Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients. Zbl 1125.62093Azrak, Rajae; Mélard, Guy 15 2006 On a problem of statistical inference in null recurrent diffusions. Zbl 1012.62091Höpfner, R.; Kutoyants, Yu. 15 2003 Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion. Zbl 1274.62563Mishra, M. N.; Prakasa Rao, B. L. S. 15 2011 On Castellana-Leadbetter’s condition for diffusion density estimation. Zbl 0958.62078Veretennikov, A. Yu. 15 1999 Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates. Zbl 1008.62081Lang, Gabriel; Roueff, François 14 2001 Large and moderate deviations for estimators of quadratic variational processes of diffusions. Zbl 1059.60501Djellout, Hacène; Guillin, Arnaud; Wu, Liming 14 1999 Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions. Zbl 1056.62092Kessler, M.; Rahbek, A. 14 2004 Prediction of continuous time processes by \(C_{[0,1]}\)-valued autoregressive process. Zbl 0944.62087Pumo, Besnik 14 1998 Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations. Zbl 1079.62084Dehling, Herold; Sharipov, Olimjon Sh. 13 2005 The average periodogram for nonstationary vector time series. Zbl 0966.62061Robinson, P. M.; Marinucci, D. 13 2000 Asymptotic inference of unstable periodic ARCH processes. Zbl 1236.62010Aknouche, Abdelhakim; Al-Eid, Eid 13 2012 An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel 13 2009 Asymptotic optimality of certain multihypothesis sequential tests: Non-i. i. d. case. Zbl 0943.62080Tartakovsky, Alexander G. 13 1998 Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process. Zbl 1283.62175Tanaka, Katsuto 13 2013 On inference for fractional differential equations. Zbl 1271.62197Chronopoulou, Alexandra; Tindel, Samy 13 2013 Estimating the density of the residuals in autoregressive models. Zbl 0956.62032Liebscher, Eckhard 13 1999 Consistent estimation of covariation under nonsynchronicity. Zbl 1148.62070Hayashi, Takaki; Kusuoka, Shigeo 12 2008 On uniform laws of large numbers for ergodic diffusions and consistency of estimators. Zbl 1036.60025Van Zanten, Harry 12 2003 Stationary distribution function estimation for ergodic diffusion process. Zbl 1061.62553Negri, Ilia 12 1998 Long memory with seasonal effects. Zbl 0979.60011Oppenheim, G.; Ould Haye, M.; Viano, M.-C. 12 2000 Asymptotic normality of the Whittle estimator in linear regression models with long memory errors. Zbl 0968.62050Koul, Hira L.; Surgailis, Donatas 12 2000 Estimation of the instantaneous volatility. Zbl 1243.62129Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; Savy, Nicolas 12 2012 Improved estimation in a non-Gaussian parametric regression. Zbl 1259.62082Pchelintsev, Evgeny 12 2013 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 12 2015 Exact inference for random Dirichlet means. Zbl 1089.62052Hjort, Nils Lid; Ongaro, Andrea 11 2005 On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144Gapeev, Pavel V.; Küchler, Uwe 11 2008 Nonparametric regression estimation for random fields in a fixed-design. Zbl 1110.62052El Machkouri, Mohamed 11 2007 Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process. Zbl 1325.60055Tanaka, Katsuto 11 2015 Sequential estimation of the parameters in a trigonometric regression model with the Gaussian coloured noise. Zbl 1031.62062Konev, V.; Pergamenshchikov, S. 10 2003 Proving consistency of non-standard kernel estimators. Zbl 1242.62028Mason, David M. 10 2012 Asymptotic normality of the Parzen-Rosenblatt density estimator for strongly mixing random fields. Zbl 1274.62235El Machkouri, Mohamed 10 2011 Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size. Zbl 1236.62096Breton, Jean-Christophe; Coeurjolly, Jean-François 10 2012 Parameter estimation in diagonalizable bilinear stochastic parabolic equations. Zbl 1205.62143Cialenco, Igor; Lototsky, Sergey V. 10 2009 Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116Song, Junmo; Lee, Sangyeol 10 2009 On approximating max-stable processes and constructing extremal copula functions. Zbl 1205.60102Zhang, Zhengjun 10 2009 Testing for the mean of random curves: a penalization approach. Zbl 1110.62059Mas, André 10 2007 Estimation and simulation of autoregressive Hilbertian processes with exogenous variables. Zbl 1076.62087Damon, Julien; Guillas, Serge 9 2005 On the non-parametric prediction of conditionally stationary sequences. Zbl 1079.62091Caires, S.; Ferreira, J. A. 9 2005 Estimation of time varying linear systems. Zbl 0967.62073Chiann, Chang; Morettin, Pedro A. 9 1999 Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes. Zbl 1204.62151Schick, Anton; Wefelmeyer, Wolfgang 9 2008 New tests for jumps in semimartingale models. Zbl 1333.62127Podolskij, M.; Ziggel, D. 9 2010 Frequency polygons for continuous random fields. Zbl 1205.62142Bensaïd, Nadia; Dabo-Niang, Sophie 9 2010 A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. Zbl 1115.60024Ayache, Antoine; Bertrand, Pierre; Lévy-Véhel, Jacques 9 2007 Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes. Zbl 1117.62083Galtchouk, L.; Pergamenshchikov, S. 9 2006 A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models. Zbl 1292.62130Ngatchou-Wandji, Joseph; Harel, Michel 9 2013 Maximum likelihood estimation for small noise multiscale diffusions. Zbl 1292.62125Spiliopoulos, Konstantinos; Chronopoulou, Alexandra 9 2013 Hybrid estimators for stochastic differential equations from reduced data. Zbl 1450.62102Kaino, Yusuke; Uchida, Masayuki 9 2018 Sequential change-point detection for mixing random sequences under composite hypotheses. Zbl 1148.62064Brodsky, Boris; Darkhovsky, Boris 8 2008 Design for estimation of the drift parameter in fractional diffusion systems. Zbl 1242.62090Brouste, Alexandre; Kleptsyna, Marina; Popier, Alexandre 8 2012 Rates in the empirical central limit theorem for stationary weakly dependent random fields. Zbl 1061.60016Doukhan, Paul; Lang, Gabriel 8 2002 Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE. Zbl 1006.62068Dietz, Hans M. 8 2001 On parameter estimation of threshold autoregressive models. Zbl 1236.62099Chan, Ngai Hang; Kutoyants, Yury A. 8 2012 Parameter estimation for stochastic equations with additive fractional Brownian sheet. Zbl 1204.60031Sottinen, Tommi; Tudor, Ciprian A. 8 2008 Maximum likelihood estimator for hidden Markov models in continuous time. Zbl 1205.62120Chigansky, Pavel 8 2009 Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy 8 2015 Bidimensional random effect estimation in mixed stochastic differential model. Zbl 1342.62138Dion, C.; Genon-Catalot, V. 7 2016 Asymptotic expansion of \(M_-\)-estimator over Wiener space. Zbl 1061.62554Sakamoto, Yuji; Yoshida, Nakahiro 7 1998 On determination of the order of a Markov chain. Zbl 1008.62078Zhao, L. C.; Dorea, C. C. Y.; Gonçalves, C. R. 7 2001 Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator. Zbl 1012.62103Lototsky, S. 7 2003 Periodically correlated autoregressive Hilbertian processes. Zbl 1247.60051Soltani, A. R.; Hashemi, M. 7 2011 Non-parametric estimation of the diffusion coefficient from noisy data. Zbl 1333.62104Schmisser, Emeline 7 2012 Recursive parameter estimation: convergence. Zbl 1204.62142Sharia, Teo 7 2008 Parametric estimation for the standard and geometric telegraph process observed at discrete times. Zbl 1204.60088De Gregorio, Alessandro; Iacus, Stefano Maria 7 2008 Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data. Zbl 07672039Bouzebda, Salim; Nemouchi, Boutheina 4 2023 On Stein’s lemma in hypotheses testing in general non-asymptotic case. Zbl 07672040Burnashev, M. V. 1 2023 Likelihood theory for the graph Ornstein-Uhlenbeck process. Zbl 07535462Courgeau, Valentin; Veraart, Almut E. D. 2 2022 Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations. Zbl 07535468Tonaki, Yozo; Kaino, Yusuke; Uchida, Masayuki 2 2022 Adaptive efficient analysis for big data ergodic diffusion models. Zbl 1493.62204Galtchouk, Leonid I.; Pergamenshchikov, Serge M. 1 2022 Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes. Zbl 07535461Clinet, Simon 1 2022 Detection and identification of changes of hidden Markov chains: asymptotic theory. Zbl 1493.62481Dayanik, Savas; Yamazaki, Kazutoshi 1 2022 SPHARMA approximations for stationary functional time series on the sphere. Zbl 1477.62396Caponera, Alessia 3 2021 Nonparametric estimation for i.i.d. paths of fractional SDE. Zbl 1477.62230Comte, Fabienne; Marie, Nicolas 3 2021 Asymptotic distribution of the score test for detecting marks in Hawkes processes. Zbl 1478.62231Clinet, Simon; Dunsmuir, William T. M.; Peters, Gareth W.; Richards, Kylie-Anne 2 2021 On Neyman-Pearson minimax detection of Poisson process intensity. Zbl 1469.62192Burnashev, M. V. 2 2021 Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations. Zbl 1471.62452Haress, El Mehdi; Hu, Yaozhong 2 2021 Estimating FARIMA models with uncorrelated but non-independent error terms. Zbl 1478.62248Boubacar Maïnassara, Yacouba; Esstafa, Youssef; Saussereau, Bruno 1 2021 Hypotheses testing and posterior concentration rates for semi-Markov processes. Zbl 1477.62228Votsi, I.; Gayraud, G.; Barbu, V. S.; Limnios, N. 1 2021 The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes. Zbl 1469.62331Arfè, Andrea; Peluso, Stefano; Muliere, Pietro 1 2021 Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. Zbl 1469.62324Amorino, Chiara; Gloter, Arnaud 1 2021 Nonparametric estimation for i.i.d. Gaussian continuous time moving average models. Zbl 1469.62219Comte, Fabienne; Genon-Catalot, Valentine 1 2021 Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach. Zbl 1471.62445Abu-Awwad, A.; Maume-Deschamps, V.; Ribereau, P. 1 2021 Nonparametric model for a tensor field based on high angular resolution diffusion imaging (HARDI). Zbl 1471.62304Sakhanenko, Lyudmila; DeLaura, Michael; Zhu, David C. 1 2021 Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084Cheng, Yiying; Hu, Yaozhong; Long, Hongwei 7 2020 Parametric inference for hypoelliptic ergodic diffusions with full observations. Zbl 1465.62047Melnykova, Anna 6 2020 Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process. Zbl 1469.62220Dion, Charlotte; Lemler, Sarah 4 2020 An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter. Zbl 1450.62097Chiba, Kohei 4 2020 Statistical analysis of some evolution equations driven by space-only noise. Zbl 1436.62085Cialenco, Igor; Kim, Hyun-Jung; Lototsky, Sergey V. 3 2020 Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian 3 2020 Oscillating Gaussian processes. Zbl 1459.60082Ilmonen, Pauliina; Torres, Soledad; Viitasaari, Lauri 3 2020 Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations. Zbl 1436.62077Clairon, Quentin; Samson, Adeline 2 2020 On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models. Zbl 1436.62429Ivanov, A. V.; Leonenko, N. N.; Orlovskyi, I. V. 2 2020 Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. Zbl 1437.62099Kaino, Yusuke; Nakakita, Shogo H.; Uchida, Masayuki 2 2020 Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean. Zbl 1434.60167Shevchenko, Radomyra; Tudor, Ciprian A. 2 2020 Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise. Zbl 1451.62097Brouste, Alexandre; Cai, Chunhao; Soltane, Marius; Wang, Longmin 2 2020 A minimal contrast estimator for the linear fractional stable motion. Zbl 1454.60052Ljungdahl, Mathias Mørck; Podolskij, Mark 2 2020 Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process. Zbl 1448.60117Tanaka, Katsuto 2 2020 Inference in a multivariate generalized mean-reverting process with a change-point. Zbl 1441.62144Nkurunziza, Sévérien; Shen, Lei 1 2020 Simultaneous testing of change-point location and of a regular parameter by Poisson observations. Zbl 1469.62245Dachian, Sergueï; Yang, Lin 1 2020 Optimal iterative threshold-kernel estimation of jump diffusion processes. Zbl 1465.62141Figueroa-López, José E.; Li, Cheng; Nisen, Jeffrey 1 2020 The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities. Zbl 1465.62031Pandhare, S. C.; Ramanathan, T. V. 1 2020 Recursive nonparametric regression estimation for dependent strong mixing functional data. Zbl 1465.62076Slaoui, Yousri 1 2020 Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion. Zbl 1453.62439Bertin, Karine; Klutchnikoff, Nicolas; Panloup, Fabien; Varvenne, Maylis 1 2020 Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion. Zbl 1450.62042Tudor, Ciprian A.; Yoshida, Nakahiro 1 2020 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 39 2019 Nonparametric estimation in fractional SDE. Zbl 1433.62097Comte, Fabienne; Marie, Nicolas 7 2019 The Dantzig selector for a linear model of diffusion processes. Zbl 1431.62231Fujimori, Kou 5 2019 Robust adaptive efficient estimation for semi-Markov nonparametric regression models. Zbl 1420.62168Barbu, Vlad Stefan; Beltaief, Slim; Pergamenshchikov, Sergey 3 2019 Empirical \(L^2\)-distance test statistics for ergodic diffusions. Zbl 1426.62239De Gregorio, A.; Iacus, S. M. 3 2019 Estimation of the mean in partially observed branching processes with general immigration. Zbl 1432.60079Rahimov, I. 3 2019 An inverse problem for infinitely divisible moving average random fields. Zbl 1425.62130Karcher, Wolfgang; Roth, Stefan; Spodarev, Evgeny; Walk, Corinna 2 2019 Nonparametric recursive estimation of the derivative of the regression function with application to sea shores water quality. Zbl 1419.62498Bercu, Bernard; Capderou, Sami; Durrieu, Gilles 2 2019 Two-step wavelet-based estimation for Gaussian mixed fractional processes. Zbl 1420.62366Abry, Patrice; Didier, Gustavo; Li, Hui 1 2019 On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes. Zbl 1425.62129Soltani, A. R.; Nematollahi, A. R.; Mahmoudi, M. R. 1 2019 Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions. Zbl 1432.62285Chiba, Kohei 1 2019 Second-order properties of thresholded realized power variations of FJA additive processes. Zbl 1434.62038Figueroa-López, José E.; Nisen, Jeffrey 1 2019 Asymptotic behavior of nonparametric estimators of the two-dimensional and bivariate renewal functions. Zbl 1423.60043Harel, Michel; Andriamampionona, Livasoa; Harison, Victor 1 2019 Nonparametric Gaussian inference for stable processes. Zbl 1432.62308Mies, Fabian; Steland, Ansgar 1 2019 On conditional least squares estimation for affine diffusions based on continuous time observations. Zbl 1428.60113Bolyog, Beáta; Pap, Gyula 1 2019 Statistical inference for SPDEs: an overview. Zbl 1394.60067Cialenco, Igor 26 2018 Hybrid estimators for stochastic differential equations from reduced data. Zbl 1450.62102Kaino, Yusuke; Uchida, Masayuki 9 2018 Trajectory fitting estimators for SPDEs driven by additive noise. Zbl 1393.60065Cialenco, Igor; Gong, Ruoting; Huang, Yicong 6 2018 Non-parametric estimation of the spiking rate in systems of interacting neurons. Zbl 1393.62012Hodara, P.; Krell, N.; Löcherbach, E. 6 2018 Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data. Zbl 06860591Pergamenchtchikov, Serguei; Tartakovsky, Alexander G. 6 2018 A review of asymptotic theory of estimating functions. Zbl 1450.62101Jacod, Jean; Sørensen, Michael 6 2018 Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235Brouste, Alexandre; Masuda, Hiroki 5 2018 A non-parametric Bayesian approach to decompounding from high frequency data. Zbl 1395.62079Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter 4 2018 Estimation of cusp location of stochastic processes: a survey. Zbl 1450.62098Dachian, S.; Kordzakhia, N.; Kutoyants, Yu. A.; Novikov, A. 4 2018 Oracle inequalities for the stochastic differential equations. Zbl 1403.62064Pchelintsev, E. A.; Pergamenshchikov, S. M. 4 2018 Estimation and testing in generalized mean-reverting processes with change-point. Zbl 06860590Nkurunziza, Sévérien; Zhang, Pei Patrick 3 2018 Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients. Zbl 06860587Jin, Sixian; Peng, Qidi; Schellhorn, Henry 2 2018 Nonparametric estimation for irregularly sampled Lévy processes. Zbl 1405.62113Kappus, Johanna 2 2018 Estimating linear functionals of a sparse family of Poisson means. Zbl 06916514Collier, Olivier; Dalalyan, Arnak S. 2 2018 Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation. Zbl 1395.60042Dozzi, Marco; Kozachenko, Yuriy; Mishura, Yuliya; Ralchenko, Kostiantyn 1 2018 Statistical inference of 2-type critical Galton-Watson processes with immigration. Zbl 1391.60212Körmendi, Kristóf; Pap, Gyula 1 2018 Translation invariant statistical experiments with independent increments. Zbl 1403.62012Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander 1 2018 Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C. 17 2017 Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Zbl 1369.62215Koike, Yuta 7 2017 Autoregressive functions estimation in nonlinear bifurcating autoregressive models. Zbl 1459.62167Bitseki Penda, S. Valère; Olivier, Adélaïde 6 2017 Asymptotic normality of quadratic forms of martingale differences. Zbl 06821278Giraitis, Liudas; Taniguchi, Masanobu; Taqqu, Murad S. 4 2017 The asymptotics of misspecified MLEs for some stochastic processes: a survey. Zbl 06821280Kutoyants, Yury A. 4 2017 Two-step estimation of ergodic Lévy driven SDE. Zbl 1369.62216Masuda, Hiroki; Uehara, Yuma 3 2017 Periodic autoregressive stochastic volatility. Zbl 06800560Aknouche, Abdelhakim 2 2017 Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph. Zbl 06800562Gobet, Emmanuel; Matulewicz, Gustaw 2 2017 Memory properties of transformations of linear processes. Zbl 1369.62236Sang, Hailin; Sang, Yongli 2 2017 Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. Zbl 06800563Lee, Wooyong; Greenwood, Priscilla E.; Heckman, Nancy; Wefelmeyer, Wolfgang 1 2017 The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points. Zbl 1380.60082Messer, Michael; Schneider, Gaby 1 2017 Circular autocorrelation of stationary circular Markov processes. Zbl 06821276Abe, Toshihiro; Ogata, Hiroaki; Shiohama, Takayuki; Taniai, Hiroyuki 1 2017 Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models. Zbl 06821277Akashi, Fumiya 1 2017 Time series regression models with locally stationary disturbance. Zbl 06821279Hirukawa, Junichi 1 2017 Moment convergence of \(Z\)-estimators. Zbl 1380.62104Negri, Ilia; Nishiyama, Yoichi 1 2017 Bidimensional random effect estimation in mixed stochastic differential model. Zbl 1342.62138Dion, C.; Genon-Catalot, V. 7 2016 Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation. Zbl 1356.60036Nourdin, Ivan; Nualart, David; Zintout, Rola 6 2016 Estimating functions for noisy observations of ergodic diffusions. Zbl 1356.62121Favetto, Benjamin 6 2016 Nonparametric regression on random fields with random design using wavelet method. Zbl 1333.62120Li, Linyuan 6 2016 Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case. Zbl 1345.62026Mariucci, Ester 5 2016 Integral curves from noisy diffusion MRI data with closed-form uncertainty estimates. Zbl 1357.62149Carmichael, Owen; Sakhanenko, Lyudmila 4 2016 Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions. Zbl 1349.62409Kitromilidou, Stella; Fokianos, Konstantinos 4 2016 Estimating integrated co-volatility with partially miss-ordered high frequency data. Zbl 1356.62122Liu, Zhi 3 2016 Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models. Zbl 1356.62151Maïnassara, Yacouba Boubacar; Kokonendji, Célestin C. 3 2016 Asymptotics for random functions moderated by dependent noise. Zbl 1350.60035Steland, Ansgar 2 2016 Asymptotic theory of parameter estimation by a contrast function based on interpolation error. Zbl 1356.62161Suto, Yoshihiro; Liu, Yan; Taniguchi, Masanobu 2 2016 Blockwise bootstrap of the estimated empirical process based on \(\psi \)-weakly dependent observations. Zbl 1356.62058Wieczorek, Barbara 2 2016 The Gumbel test and jumps in the volatility process. Zbl 1342.62070Palmes, Christian; Woerner, Jeannette H. C. 1 2016 ...and 225 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,007 Authors 34 Kutoyants, Yury A. 29 Laksaci, Ali 27 Tudor, Ciprian A. 24 Bouzebda, Salim 24 Yoshida, Nakahiro 21 Es-Sebaiy, Khalifa 20 Dabo-Niang, Sophie 19 Prakasa Rao, B. L. S. 19 Uchida, Masayuki 15 Surgailis, Donatas 14 Bardet, Jean-Marc 14 Limnios, Nikolaos 14 Pergamenshchikov, Sergeĭ Markovich 13 Schick, Anton 13 Takahashi, Akihiko 13 Wefelmeyer, Wolfgang 12 Cialenco, Igor 12 Jiang, Hui 12 Kleptsyna, Marina L. 12 Mishura, Yuliya Stepanivna 12 Ould-Saïd, Elias 12 Ruiz-Medina, María Dolores 12 Shimizu, Yasutaka 11 Dachian, Sergueï 11 Podolskij, Mark 10 Doukhan, Paul 10 Gloter, Arnaud 10 Hu, Yaozhong 10 Leonenko, Nikolai N. 10 Löcherbach, Eva 10 Masuda, Hiroki 10 Ralchenko, Kostiantyn V. 10 Taqqu, Murad S. 10 Vieu, Philippe 9 Anh, Vo V. 9 Bosq, Denis 9 Brouste, Alexandre 9 De Gregorio, Alessandro 9 Rachdi, Mustapha 9 Shen, Guangjun 9 Zhang, Xuekang 8 Aknouche, Abdelhakim 8 Bianchi, Sergio 8 Blanke, Delphine 8 Coeurjolly, Jean-François 8 El Machkouri, Mohamed 8 Iacus, Stefano Maria 8 Kubilius, Kȩstutis 8 Marie, Nicolas 8 Mishra, Mahendra Nath 8 Negri, Ilia 8 Torres, Soledad 8 Viens, Frederi G. 8 Xiao, Wei-Lin 8 Zhang, Zhengjun 7 Amorino, Chiara 7 Barbu, Vlad Stefan 7 Bibinger, Markus 7 Bücher, Axel 7 Comte, Fabienne 7 Galtchouk, Leonid I. 7 Gao, Fuqing 7 Höpfner, Reinhard 7 Kaino, Yusuke 7 Madani, Fethi 7 Nishiyama, Yoichi 7 Pianese, Augusto 7 Račkauskas, Alfredas Yurgevich 7 Rosenbaum, Mathieu 7 Shu, Huisheng 7 Tartakovsky, Alexander G. 7 Viitasaari, Lauri 6 Beran, Jan 6 Chernoyarov, Oleg V. 6 Clausel, Marianne 6 Dette, Holger 6 Ferraty, Frédéric 6 Hoffmann, Marc 6 Koike, Yuta 6 Konev, Victor 6 Lavancier, Frédéric 6 León, José Rafael R. 6 Long, Hongwei 6 Mason, David M. 6 Nourdin, Ivan 6 Nualart, David 6 Pap, Gyula 6 Pchelintsev, Evgeniĭ Anatol’evich 6 Prünster, Igor 6 Rabhi, Abbes 6 Robinson, Peter Michael 6 Roueff, François 6 van Zanten, Harry 6 Wang, Jinde 6 Wang, Yizao 6 Yan, Litan 6 Yu, Qian 6 Zhang, Li-Xin 5 Alazemi, Fares 5 Bertrand, Pierre Raphael ...and 1,907 more Authors all top 5 Cited in 243 Journals 141 Statistical Inference for Stochastic Processes 91 Statistics & Probability Letters 89 Stochastic Processes and their Applications 86 Communications in Statistics. Theory and Methods 73 Electronic Journal of Statistics 60 Journal of Statistical Planning and Inference 55 Journal of Multivariate Analysis 48 Bernoulli 44 Journal of Econometrics 39 Journal of Nonparametric Statistics 38 Comptes Rendus. Mathématique. Académie des Sciences, Paris 37 Annals of the Institute of Statistical Mathematics 30 The Annals of Statistics 29 Statistics 25 Journal of Theoretical Probability 24 Stochastic Analysis and Applications 24 Mathematical Methods of Statistics 22 Computational Statistics and Data Analysis 21 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 20 Stochastics and Dynamics 19 Journal of Time Series Analysis 19 Sequential Analysis 16 Methodology and Computing in Applied Probability 16 Econometric Theory 15 Scandinavian Journal of Statistics 15 Theory of Probability and Mathematical Statistics 15 Stochastics 15 Japanese Journal of Statistics and Data Science 14 Journal of Applied Probability 13 Metrika 12 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 12 Statistical Papers 12 Modern Stochastics. Theory and Applications 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 Random Operators and Stochastic Equations 9 Mathematical Problems in Engineering 9 The Annals of Applied Statistics 8 Computational Statistics 8 Asia-Pacific Financial Markets 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 Communications in Statistics. Simulation and Computation 7 Journal of Statistical Computation and Simulation 6 Advances in Applied Probability 6 Lithuanian Mathematical Journal 6 The Annals of Applied Probability 6 Brazilian Journal of Probability and Statistics 6 Advances in Difference Equations 6 Sankhyā. Series A 6 Statistics and Computing 5 Chaos, Solitons and Fractals 5 Journal of the American Statistical Association 5 Insurance Mathematics & Economics 5 Test 5 Acta Mathematica Sinica. English Series 5 Stochastic Models 5 Acta Mathematica Scientia. Series B. (English Edition) 5 Statistical Methodology 5 Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika 4 Problems of Information Transmission 4 Mathematics of Operations Research 4 Statistica 4 Fractals 4 Journal of Applied Statistics 4 Applications and Applied Mathematics 4 Science China. Mathematics 4 Journal of Probability and Statistics 3 Journal of Statistical Physics 3 Journal of Computational and Applied Mathematics 3 Physica D 3 Statistical Science 3 Automation and Remote Control 3 Journal of Mathematical Sciences (New York) 3 Monte Carlo Methods and Applications 3 Electronic Journal of Probability 3 Finance and Stochastics 3 Chaos 3 Journal of the Royal Statistical Society. Series B. Statistical Methodology 3 Communications in Nonlinear Science and Numerical Simulation 3 Stochastic Environmental Research and Risk Assessment 3 Discrete and Continuous Dynamical Systems. Series B 3 Statistical Modelling 3 Multiscale Modeling & Simulation 3 Frontiers of Mathematics in China 3 SIAM Journal on Financial Mathematics 3 Acta Universitatis Sapientiae. Mathematica 3 Statistics Surveys 3 Annals of Finance 3 Dependence Modeling 3 SIAM/ASA Journal on Uncertainty Quantification 3 Journal of the Japan Statistical Society. Japanese Issue ...and 143 more Journals all top 5 Cited in 37 Fields 1,418 Statistics (62-XX) 1,080 Probability theory and stochastic processes (60-XX) 130 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 125 Numerical analysis (65-XX) 51 Systems theory; control (93-XX) 36 Biology and other natural sciences (92-XX) 31 Partial differential equations (35-XX) 31 Harmonic analysis on Euclidean spaces (42-XX) 20 Ordinary differential equations (34-XX) 20 Information and communication theory, circuits (94-XX) 16 Dynamical systems and ergodic theory (37-XX) 15 Functional analysis (46-XX) 13 Geophysics (86-XX) 12 Statistical mechanics, structure of matter (82-XX) 12 Operations research, mathematical programming (90-XX) 11 Integral equations (45-XX) 11 Computer science (68-XX) 7 Approximations and expansions (41-XX) 7 Operator theory (47-XX) 6 Real functions (26-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) 3 Integral transforms, operational calculus (44-XX) 2 Sequences, series, summability (40-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Quantum theory (81-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year