# zbMATH — the first resource for mathematics

## Statistical Inference for Stochastic Processes

### In 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: http://link.springer.com/journal/volumesAndIssues/11203 Comments: Indexed cover-to-cover
 Documents Indexed: 375 Publications (since 1998) References Indexed: 261 Publications with 6,717 References.
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#### Latest Issues

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#### Authors

 9 Kutoyants, Yury A. 9 Yoshida, Nakahiro 8 Kleptsyna, Marina L. 8 Uchida, Masayuki 6 Dachian, Sergueï 6 Pergamenshchikov, Sergeĭ Markovich 5 Höpfner, Reinhard 5 Lang, Gabriel 5 Masuda, Hiroki 5 Negri, Ilia 5 Taniguchi, Masanobu 4 Aknouche, Abdelhakim 4 Blanke, Delphine 4 Bosq, Denis 4 Brouste, Alexandre 4 Cialenco, Igor 4 Dehling, Herold G. 4 Hu, Yaozhong 4 Küchler, Uwe 4 León, José Rafael R. 4 Lototsky, Sergey V. 4 Tudor, Ciprian A. 4 Wefelmeyer, Wolfgang 3 Biau, Gérard 3 Davydov, Youri 3 Dehay, Dominique 3 Dorea, Chang Chung Yu 3 Doukhan, Paul 3 El Machkouri, Mohamed 3 Franke, Brice 3 Gushchin, Aleksandr Aleksandrovich 3 Hallin, Marc 3 Harel, Michel 3 Iacus, Stefano Maria 3 Istas, Jacques 3 Le Breton, Alain 3 Löcherbach, Eva 3 Mishura, Yuliya Stepanivna 3 Pap, Gyula 3 Schick, Anton 3 Soulier, Philippe 3 Tanaka, Katsuto 2 Ayache, Antoine 2 Azmoodeh, Ehsan 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 Coeurjolly, Jean-François 2 Comte, Fabienne 2 Dalalyan, Arnak S. 2 De Gregorio, Alessandro 2 Deheuvels, Paul 2 Dozzi, Marco E. 2 Fazekas, István 2 Figueroa-López, José E. 2 Galtchouk, Leonid I. 2 Genon-Catalot, Valentine 2 Giraitis, Liudas 2 Gonçalves, Cátia Regina 2 Greenwood, Priscilla E. 2 Kaino, Yusuke 2 Kessler, Mathieu 2 Kott, Thomas 2 Koul, Hira Lal 2 Kukush, Oleksandr Georgiĭovych 2 Lee, Sangyeol 2 Leonenko, Nikolai N. 2 Lévy Véhel, Jacques 2 Li, Linyuan 2 Liptser, Robert 2 Ludeña, Carenne C. 2 Mainassara, Yacouba Boubacar 2 Marinucci, Domenico 2 Mason, David M. 2 Monsan, Vincent 2 Muliere, Pietro 2 Ngatchou Wandji, Joseph 2 Nisen, Jeffrey A. 2 Nishiyama, Yoichi 2 Nkurunziza, Sévérien 2 Nualart, David 2 Oliveira, Paulo Eduardo 2 Panloup, Fabien 2 Pchelintsev, Evgeniĭ Anatol’evich 2 Podolskij, Mark 2 Portier, Bruno 2 Prakasa Rao, B. L. S. 2 Sakhanenko, Lyudmila 2 Sharia, Teo 2 Shimizu, Yasutaka 2 Soltani, Ahmad Reza 2 Sorensen, Michael 2 Spreij, Peter 2 Steland, Ansgar 2 Taqqu, Murad S. 2 Tartakovsky, Alexander G. ...and 397 more Authors
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#### Fields

 352 Statistics (62-XX) 227 Probability theory and stochastic processes (60-XX) 25 Numerical analysis (65-XX) 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Systems theory; control (93-XX) 6 Functional analysis (46-XX) 5 Ordinary differential equations (34-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Biology and other natural sciences (92-XX) 2 General and overarching topics; collections (00-XX) 2 Combinatorics (05-XX) 2 Partial differential equations (35-XX) 2 Dynamical systems and ergodic theory (37-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)

#### Citations contained in zbMATH Open

279 Publications have been cited 1,902 times in 1,379 Documents Cited by Year
Statistical analysis of the fractional Ornstein–Uhlenbeck type process. Zbl 1021.62061
Kleptsyna, M. L.; Le Breton, A.
2002
Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths. Zbl 0984.62058
Coeurjolly, Jean-François
2001
Estimating some characteristics of the conditional distribution in nonparametric functional models. Zbl 1117.62030
Ferraty, Frédéric; Laksaci, Ali; Vieu, Philippe
2006
Estimation of parameters for diffusion processes with jumps from discrete observations. Zbl 1125.62089
Shimizu, Yasutaka; Yoshida, Nakahiro
2006
Nonparametric spatial prediction. Zbl 1125.62317
2004
General asymptotic confidence bands based on kernel-type function estimators. Zbl 1125.62314
Deheuvels, Paul; Mason, David M.
2004
Parameter estimation and optimal filtering for fractional type stochastic systems. Zbl 0966.62069
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
2000
Wavelet estimator of long-range dependent processes. Zbl 1054.62579
Bardet, J. M.; Lang, G.; Moulines, E.; Soulier, P.
2000
The generalized multifractional Brownian motion. Zbl 0979.60023
Ayache, Antoine; Lévy-Véhel, Jacques
2000
Nonparametric estimation for semi-Markov processes based on its hazard rate functions. Zbl 0958.62077
Ouhbi, Brahim; Limnios, Nikolaos
1999
Quasi-likelihood analysis for the stochastic differential equation with jumps. Zbl 1225.62114
Ogihara, T.; Yoshida, N.
2011
An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302
Takahashi, Akihiko; Yoshida, Nakahiro
2004
Information criteria in model selection for mixing processes. Zbl 1092.62595
Uchida, Masayuki; Yoshida, Nakahiro
2001
$$M$$-estimation for discretely observed ergodic diffusion processes with infinitely many jumps. Zbl 1125.62088
Shimizu, Yasutaka
2006
Hybrid multi-step estimators for stochastic differential equations based on sampled data. Zbl 1329.62110
Kamatani, Kengo; Uchida, Masayuki
2015
Asymptotic properties of MLE for partially observed fractional diffusion system. Zbl 1205.60142
Brouste, Alexandre; Kleptsyna, Marina
2010
Efficient density estimation for ergodic diffusion processes. Zbl 0953.62085
Kutoyants, Yu. A.
1998
Invariance principles for non-isotropic long memory random fields. Zbl 1143.62058
Lavancier, Frédéric
2007
Bayesian nonparametric analysis for a generalized Dirichlet process prior. Zbl 1095.62064
Lijoi, Antonio; Mena, Ramsés H.; Prünster, Igor
2005
Information criteria for small diffusions via the theory of Malliavin-Watanabe. Zbl 1333.62032
Uchida, Masayuki; Yoshida, Nakahiro
2004
Estimating discontinuous periodic signals in a time inhomogeneous diffusion. Zbl 1209.62195
Höpfner, Reinhard; Kutoyants, Yury
2010
Statistical inference for SPDEs: an overview. Zbl 1394.60067
Cialenco, Igor
2018
Asymptotic expansion for small diffusions applied to option pricing. Zbl 1125.62311
Uchida, Masayuki; Yoshida, Nakahiro
2004
On a problem of statistical inference in null recurrent diffusions. Zbl 1012.62091
Höpfner, R.; Kutoyants, Yu.
2003
Identification of the Hurst index of a step fractional Brownian motion. Zbl 0982.60081
Benassi, Albert; Bertrand, Pierre; Cohen, Serge; Istas, Jacques
2000
Testing epidemic changes of infinite dimensional parameters. Zbl 1110.62060
Račkauskas, Alfredas; Suquet, Charles
2006
Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. Zbl 1333.62200
Uchida, Masayuki; Yoshida, Nakahiro
2014
Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Zbl 1011.60018
Kleptsyna, M. L.; Le Breton, A.
2002
Estimation of mean and covariance operator of autoregressive processes in Banach spaces. Zbl 1028.62070
Bosq, Denis
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
2000
Estimation of cusp location by Poisson observations. Zbl 1012.62090
Dachian, S.
2003
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Zbl 1333.62199
Neuenkirch, Andreas; Tindel, Samy
2014
Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Zbl 1325.60051
Azmoodeh, Ehsan; Viitasaari, Lauri
2015
Large and moderate deviations for estimators of quadratic variational processes of diffusions. Zbl 1059.60501
Djellout, Hacène; Guillin, Arnaud; Wu, Liming
1999
Drift estimation for a periodic mean reversion process. Zbl 1209.60047
Dehling, Herold; Franke, Brice; Kott, Thomas
2010
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type. Zbl 1205.62124
Valdivieso, Luis; Schoutens, Wim; Tuerlinckx, Francis
2009
An empirical central limit theorem with applications to copulas under weak dependence. Zbl 1333.62207
Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel
2009
On Castellana-Leadbetter’s condition for diffusion density estimation. Zbl 0958.62078
Veretennikov, A. Yu.
1999
On uniform laws of large numbers for ergodic diffusions and consistency of estimators. Zbl 1036.60025
Van Zanten, Harry
2003
Stationary distribution function estimation for ergodic diffusion process. Zbl 1061.62553
Negri, Ilia
1998
Long memory with seasonal effects. Zbl 0979.60011
Oppenheim, G.; Ould Haye, M.; Viano, M.-C.
2000
The average periodogram for nonstationary vector time series. Zbl 0966.62061
Robinson, P. M.; Marinucci, D.
2000
Consistent estimation of covariation under nonsynchronicity. Zbl 1148.62070
Hayashi, Takaki; Kusuoka, Shigeo
2008
Prediction of continuous time processes by $$C_{[0,1]}$$-valued autoregressive process. Zbl 0944.62087
Pumo, Besnik
1998
Estimating the density of the residuals in autoregressive models. Zbl 0956.62032
Liebscher, Eckhard
1999
Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients. Zbl 1125.62093
Azrak, Rajae; Mélard, Guy
2006
Estimation of the instantaneous volatility. Zbl 1243.62129
Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; Savy, Nicolas
2012
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
2019
Asymptotic normality of the Whittle estimator in linear regression models with long memory errors. Zbl 0968.62050
Koul, Hira L.; Surgailis, Donatas
2000
Approximation of some processes. Zbl 0986.60036
Carmona, Philippe; Coutin, Laure; Montseny, G.
2000
On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144
Gapeev, Pavel V.; Küchler, Uwe
2008
On inference for fractional differential equations. Zbl 1271.62197
Chronopoulou, Alexandra; Tindel, Samy
2013
Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions. Zbl 1056.62092
Kessler, M.; Rahbek, A.
2004
Exact inference for random Dirichlet means. Zbl 1089.62052
Hjort, Nils Lid; Ongaro, Andrea
2005
Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates. Zbl 1008.62081
Lang, Gabriel; Roueff, François
2001
Asymptotic normality of the Parzen-Rosenblatt density estimator for strongly mixing random fields. Zbl 1274.62235
El Machkouri, Mohamed
2011
Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion. Zbl 1274.62563
Mishra, M. N.; Prakasa Rao, B. L. S.
2011
Asymptotic optimality of certain multihypothesis sequential tests: Non-i. i. d. case. Zbl 0943.62080
Tartakovsky, Alexander G.
1998
Testing for the mean of random curves: a penalization approach. Zbl 1110.62059
Mas, André
2007
Estimation and simulation of autoregressive Hilbertian processes with exogenous variables. Zbl 1076.62087
Damon, Julien; Guillas, Serge
2005
Estimation of mean and covariance operator for Banach space valued autoregressive processes with dependent innovations. Zbl 1079.62084
Dehling, Herold; Sharipov, Olimjon Sh.
2005
On the non-parametric prediction of conditionally stationary sequences. Zbl 1079.62091
Caires, S.; Ferreira, J. A.
2005
Estimation of time varying linear systems. Zbl 0967.62073
Chiann, Chang; Morettin, Pedro A.
1999
Root-$$n$$ consistency in weighted $$L _{1}$$-spaces for density estimators of invertible linear processes. Zbl 1204.62151
Schick, Anton; Wefelmeyer, Wolfgang
2008
Parameter estimation in diagonalizable bilinear stochastic parabolic equations. Zbl 1205.62143
Cialenco, Igor; Lototsky, Sergey V.
2009
New tests for jumps in semimartingale models. Zbl 1333.62127
Podolskij, M.; Ziggel, D.
2010
Nonparametric regression estimation for random fields in a fixed-design. Zbl 1110.62052
El Machkouri, Mohamed
2007
Asymptotic inference of unstable periodic ARCH processes. Zbl 1236.62010
Aknouche, Abdelhakim; Al-Eid, Eid
2012
Sequential estimation of the parameters in a trigonometric regression model with the Gaussian coloured noise. Zbl 1031.62062
Konev, V.; Pergamenshchikov, S.
2003
Proving consistency of non-standard kernel estimators. Zbl 1242.62028
Mason, David M.
2012
Parameter estimation for stochastic equations with additive fractional Brownian sheet. Zbl 1204.60031
Sottinen, Tommi; Tudor, Ciprian A.
2008
Maximum likelihood estimator for hidden Markov models in continuous time. Zbl 1205.62120
Chigansky, Pavel
2009
Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116
Song, Junmo; Lee, Sangyeol
2009
On approximating max-stable processes and constructing extremal copula functions. Zbl 1205.60102
Zhang, Zhengjun
2009
Sequential change-point detection for mixing random sequences under composite hypotheses. Zbl 1148.62064
Brodsky, Boris; Darkhovsky, Boris
2008
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
2007
Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process. Zbl 1283.62175
Tanaka, Katsuto
2013
Rates in the empirical central limit theorem for stationary weakly dependent random fields. Zbl 1061.60016
Doukhan, Paul; Lang, Gabriel
2002
Periodically correlated autoregressive Hilbertian processes. Zbl 1247.60051
Soltani, A. R.; Hashemi, M.
2011
Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes. Zbl 1117.62083
Galtchouk, L.; Pergamenshchikov, S.
2006
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
2012
Maximum likelihood estimation for small noise multiscale diffusions. Zbl 1292.62125
Spiliopoulos, Konstantinos; Chronopoulou, Alexandra
2013
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
2015
Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process. Zbl 1325.60055
Tanaka, Katsuto
2015
On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes. Zbl 1298.62140
Kleptsyna, M.; Kutoyants, Yu. A.
2014
Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations. Zbl 1006.62074
Reiß, Markus
2002
Likelihood ratio processes for Markovian particle systems with killing and jumps. Zbl 1030.60074
Löcherbach, E.
2002
Linear processes, long-range dependence and asymptotic expansions. Zbl 0966.62055
Hsing, Tailen
2000
Design for estimation of the drift parameter in fractional diffusion systems. Zbl 1242.62090
Brouste, Alexandre; Kleptsyna, Marina; Popier, Alexandre
2012
Recursive parameter estimation: convergence. Zbl 1204.62142
Sharia, Teo
2008
A note on wavelet density deconvolution for weakly dependent data. Zbl 1204.62051
van Zanten, Harry; Zareba, Pawel
2008
Parametric estimation for the standard and geometric telegraph process observed at discrete times. Zbl 1204.60088
De Gregorio, Alessandro; Iacus, Stefano Maria
2008
Goodness of fit test for ergodic diffusions by tick time sample scheme. Zbl 1205.62115
Negri, Ilia; Nishiyama, Yoichi
2010
On the Kaplan-Meier estimator of long-range dependent sequences. Zbl 1092.62510
Leonenko, Nikolai N.; Sakhno, Ludmila M.
2001
The asymptotic variance of the continuous-time kernel estimator with applications to bandwidth selection. Zbl 0984.62029
Sköld, M.
2001
Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214
Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C.
2017
A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models. Zbl 1292.62130
Ngatchou-Wandji, Joseph; Harel, Michel
2013
Change point testing for the drift parameters of a periodic mean reversion process. Zbl 1333.62194
Dehling, Herold; Franke, Brice; Kott, Thomas; Kulperger, Reg
2014
Nonparametric regression on random fields with random design using wavelet method. Zbl 1333.62120
Li, Linyuan
2016
Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102
Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy
2015
Parametric inference for hypoelliptic ergodic diffusions with full observations. Zbl 1465.62047
Melnykova, Anna
2020
Generalized moment estimators for $$\alpha$$-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei
2020
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process. Zbl 07342245
Dion, Charlotte; Lemler, Sarah
2020
Statistical analysis of some evolution equations driven by space-only noise. Zbl 1436.62085
Cialenco, Igor; Kim, Hyun-Jung; Lototsky, Sergey V.
2020
Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. Zbl 1437.62099
Kaino, Yusuke; Nakakita, Shogo H.; Uchida, Masayuki
2020
A minimal contrast estimator for the linear fractional stable motion. Zbl 1454.60052
Ljungdahl, Mathias Mørck; Podolskij, Mark
2020
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
2019
Nonparametric estimation in fractional SDE. Zbl 1433.62097
Comte, Fabienne; Marie, Nicolas
2019
Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions. Zbl 1432.62285
Chiba, Kohei
2019
Second-order properties of thresholded realized power variations of FJA additive processes. Zbl 1434.62038
Figueroa-López, José E.; Nisen, Jeffrey
2019
The Dantzig selector for a linear model of diffusion processes. Zbl 1431.62231
Fujimori, Kou
2019
Nonparametric Gaussian inference for stable processes. Zbl 1432.62308
Mies, Fabian; Steland, Ansgar
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
2019
Estimation of the mean in partially observed branching processes with general immigration. Zbl 1432.60079
Rahimov, I.
2019
Two-step wavelet-based estimation for Gaussian mixed fractional processes. Zbl 1420.62366
Abry, Patrice; Didier, Gustavo; Li, Hui
2019
Empirical $$L^2$$-distance test statistics for ergodic diffusions. Zbl 1426.62239
De Gregorio, A.; Iacus, S. M.
2019
An inverse problem for infinitely divisible moving average random fields. Zbl 1425.62130
Karcher, Wolfgang; Roth, Stefan; Spodarev, Evgeny; Walk, Corinna
2019
Statistical inference for SPDEs: an overview. Zbl 1394.60067
Cialenco, Igor
2018
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
2018
Hybrid estimators for stochastic differential equations from reduced data. Zbl 1450.62102
Kaino, Yusuke; Uchida, Masayuki
2018
Trajectory fitting estimators for SPDEs driven by additive noise. Zbl 1393.60065
Cialenco, Igor; Gong, Ruoting; Huang, Yicong
2018
Non-parametric estimation of the spiking rate in systems of interacting neurons. Zbl 1393.62012
Hodara, P.; Krell, N.; Löcherbach, E.
2018
Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235
Brouste, Alexandre; Masuda, Hiroki
2018
Estimation of cusp location of stochastic processes: a survey. Zbl 1450.62098
Dachian, S.; Kordzakhia, N.; Kutoyants, Yu. A.; Novikov, A.
2018
Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data. Zbl 06860591
Pergamenchtchikov, Serguei; Tartakovsky, Alexander G.
2018
A non-parametric Bayesian approach to decompounding from high frequency data. Zbl 1395.62079
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
2018
Nonparametric estimation for irregularly sampled Lévy processes. Zbl 1405.62113
Kappus, Johanna
2018
Estimation and testing in generalized mean-reverting processes with change-point. Zbl 06860590
Nkurunziza, Sévérien; Zhang, Pei Patrick
2018
Estimating linear functionals of a sparse family of Poisson means. Zbl 06916514
Collier, Olivier; Dalalyan, Arnak S.
2018
Translation invariant statistical experiments with independent increments. Zbl 1403.62012
Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander
2018
Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients. Zbl 06860587
Jin, Sixian; Peng, Qidi; Schellhorn, Henry
2018
Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean. Zbl 1369.62214
Dehling, Herold; Franke, Brice; Woerner, Jeannette H. C.
2017
Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Zbl 1369.62215
Koike, Yuta
2017
Asymptotic normality of quadratic forms of martingale differences. Zbl 06821278
Giraitis, Liudas; Taniguchi, Masanobu; Taqqu, Murad S.
2017
The asymptotics of misspecified MLEs for some stochastic processes: a survey. Zbl 06821280
Kutoyants, Yury A.
2017
Autoregressive functions estimation in nonlinear bifurcating autoregressive models. Zbl 1459.62167
Bitseki Penda, S. Valère; Olivier, Adélaïde
2017
Circular autocorrelation of stationary circular Markov processes. Zbl 06821276
Abe, Toshihiro; Ogata, Hiroaki; Shiohama, Takayuki; Taniai, Hiroyuki
2017
Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models. Zbl 06821277
Akashi, Fumiya
2017
Time series regression models with locally stationary disturbance. Zbl 06821279
Hirukawa, Junichi
2017
Moment convergence of $$Z$$-estimators. Zbl 1380.62104
Negri, Ilia; Nishiyama, Yoichi
2017
Periodic autoregressive stochastic volatility. Zbl 06800560
Aknouche, Abdelhakim
2017
Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph. Zbl 06800562
Gobet, Emmanuel; Matulewicz, Gustaw
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
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
2017
Memory properties of transformations of linear processes. Zbl 1369.62236
Sang, Hailin; Sang, Yongli
2017
Two-step estimation of ergodic Lévy driven SDE. Zbl 1369.62216
Masuda, Hiroki; Uehara, Yuma
2017
Nonparametric regression on random fields with random design using wavelet method. Zbl 1333.62120
Li, Linyuan
2016
Bidimensional random effect estimation in mixed stochastic differential model. Zbl 1342.62138
Dion, C.; Genon-Catalot, V.
2016
Estimating functions for noisy observations of ergodic diffusions. Zbl 1356.62121
Favetto, Benjamin
2016
Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case. Zbl 1345.62026
Mariucci, Ester
2016
Estimating integrated co-volatility with partially miss-ordered high frequency data. Zbl 1356.62122
Liu, Zhi
2016
Blockwise bootstrap of the estimated empirical process based on $$\psi$$-weakly dependent observations. Zbl 1356.62058
Wieczorek, Barbara
2016
Integral curves from noisy diffusion MRI data with closed-form uncertainty estimates. Zbl 1357.62149
Carmichael, Owen; Sakhanenko, Lyudmila
2016
Asymptotics for random functions moderated by dependent noise. Zbl 1350.60035
Steland, Ansgar
2016
Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation. Zbl 1356.60036
Nourdin, Ivan; Nualart, David; Zintout, Rola
2016
Asymptotic theory of parameter estimation by a contrast function based on interpolation error. Zbl 1356.62161
Suto, Yoshihiro; Liu, Yan; Taniguchi, Masanobu
2016
On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator. Zbl 1356.62028
Abdeddaiem, Maroua Ben
2016
Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions. Zbl 1349.62409
Kitromilidou, Stella; Fokianos, Konstantinos
2016
Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models. Zbl 1356.62151
Maïnassara, Yacouba Boubacar; Kokonendji, Célestin C.
2016
The Gumbel test and jumps in the volatility process. Zbl 1342.62070
Palmes, Christian; Woerner, Jeannette H. C.
2016
Hybrid multi-step estimators for stochastic differential equations based on sampled data. Zbl 1329.62110
Kamatani, Kengo; Uchida, Masayuki
2015
Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Zbl 1325.60051
Azmoodeh, Ehsan; Viitasaari, Lauri
2015
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
2015
Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process. Zbl 1325.60055
Tanaka, Katsuto
2015
Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102
Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy
2015
Adaptive pointwise estimation for pure jump Lévy processes. Zbl 1327.62237
Bec, Mélina; Lacour, Claire
2015
On a Poissonian change-point model with variable jump size. Zbl 1329.62362
Dachian, Sergueï; Yang, Lin
2015
Cox process functional learning. Zbl 1327.62193
Biau, Gérard; Cadre, Benoît; Paris, Quentin
2015
Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes. Zbl 1308.62039
Dehay, Dominique
2015
Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. Zbl 1333.62200
Uchida, Masayuki; Yoshida, Nakahiro
2014
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Zbl 1333.62199
Neuenkirch, Andreas; Tindel, Samy
2014
On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes. Zbl 1298.62140
Kleptsyna, M.; Kutoyants, Yu. A.
2014
Change point testing for the drift parameters of a periodic mean reversion process. Zbl 1333.62194
Dehling, Herold; Franke, Brice; Kott, Thomas; Kulperger, Reg
2014
Central limit theorems for empirical product densities of stationary point processes. Zbl 1306.60008
Heinrich, Lothar; Klein, Stella
2014
On asymptotic distribution of parameter free tests for ergodic diffusion processes. Zbl 1333.62195
Kutoyants, Yury A.
2014
Truncated stochastic approximation with moving bounds: convergence. Zbl 1323.62084
Sharia, Teo
2014
On goodness-of-fit testing for ergodic diffusion process with shift parameter. Zbl 1333.62196
Negri, Ilia; Zhou, Li
2014
AIC type statistics for discretely observed ergodic diffusion processes. Zbl 1298.62042
Fujii, Takayuki; Uchida, Masayuki
2014
Second-order continuous-time non-stationary Gaussian autoregression. Zbl 1333.62226
Lin, N.; Lototsky, S. V.
2014
Parameter estimation for the stochastic SIS epidemic model. Zbl 1333.62282
Pan, Jiafeng; Gray, Alison; Greenhalgh, David; Mao, Xuerong
2014
On inference for fractional differential equations. Zbl 1271.62197
Chronopoulou, Alexandra; Tindel, Samy
2013
Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process. Zbl 1283.62175
Tanaka, Katsuto
2013
Maximum likelihood estimation for small noise multiscale diffusions. Zbl 1292.62125
Spiliopoulos, Konstantinos; Chronopoulou, Alexandra
2013
A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models. Zbl 1292.62130
Ngatchou-Wandji, Joseph; Harel, Michel
2013
Improved estimation in a non-Gaussian parametric regression. Zbl 1259.62082
Pchelintsev, Evgeny
2013
Local linear estimation for stochastic processes driven by $$\alpha$$-stable Lévy motion. Zbl 1307.62099
Wang, Yunyan; Zhang, Lixin
2013
Exact and approximate EM estimation of mutually exciting Hawkes processes. Zbl 1259.62112
Olson, Jamie F.; Carley, Kathleen M.
2013
Goodness-of-fit testing for fractional diffusions. Zbl 1307.62203
Podolskij, Mark; Wasmuth, Katrin
2013
Asymptotic normality of recursive estimators under strong mixing conditions. Zbl 1307.62087
Amiri, Aboubacar
2013
On the Cramér-von Mises test with parametric hypothesis for Poisson processes. Zbl 1259.62071
Dabye, A. S.
2013
Predicting extinction or explosion in a Galton-Watson branching process. Zbl 1307.60118
Guttorp, Peter; Perlman, Michael D.
2013
Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion. Zbl 1273.60037
Azmoodeh, Ehsan; Valkeila, Esko
2013
On rate-optimal nonparametric wavelet regression with long memory moving average errors. Zbl 1307.62095
Li, Linyuan; Lu, Kewei
2013
Estimation of the instantaneous volatility. Zbl 1243.62129
Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; Savy, Nicolas
2012
Asymptotic inference of unstable periodic ARCH processes. Zbl 1236.62010
Aknouche, Abdelhakim; Al-Eid, Eid
2012
Proving consistency of non-standard kernel estimators. Zbl 1242.62028
Mason, David M.
2012
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
2012
Design for estimation of the drift parameter in fractional diffusion systems. Zbl 1242.62090
Brouste, Alexandre; Kleptsyna, Marina; Popier, Alexandre
2012
On parameter estimation of threshold autoregressive models. Zbl 1236.62099
Chan, Ngai Hang; Kutoyants, Yury A.
2012
Non-parametric estimation of the diffusion coefficient from noisy data. Zbl 1333.62104
Schmisser, Emeline
2012
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#### Cited by 1,579 Authors

 31 Kutoyants, Yury A. 26 Tudor, Ciprian A. 25 Laksaci, Ali 19 Yoshida, Nakahiro 18 Dabo-Niang, Sophie 17 Pergamenshchikov, Sergeĭ Markovich 17 Prakasa Rao, B. L. S. 15 Bouzebda, Salim 15 Surgailis, Donatas 14 Uchida, Masayuki 13 Bardet, Jean-Marc 13 Schick, Anton 13 Takahashi, Akihiko 13 Wefelmeyer, Wolfgang 12 Ould-Saïd, Elias 12 Ruiz-Medina, María Dolores 11 Es-Sebaiy, Khalifa 11 Limnios, Nikolaos 10 Cialenco, Igor 10 Kleptsyna, Marina L. 10 Leonenko, Nikolai N. 10 Löcherbach, Eva 10 Taqqu, Murad S. 10 Vieu, Philippe 9 Anh, Vo V. 9 Dachian, Sergueï 9 Doukhan, Paul 9 Podolskij, Mark 8 Blanke, Delphine 8 Bosq, Denis 8 Brouste, Alexandre 8 Coeurjolly, Jean-François 8 De Gregorio, Alessandro 8 Gloter, Arnaud 8 Höpfner, Reinhard 8 Iacus, Stefano Maria 8 Kubilius, Kȩstutis 8 Mishra, Mahendra Nath 8 Mishura, Yuliya Stepanivna 8 Negri, Ilia 7 Aknouche, Abdelhakim 7 Bücher, Axel 7 El Machkouri, Mohamed 7 Gao, Fuqing 7 Jiang, Hui 7 Masuda, Hiroki 7 Nishiyama, Yoichi 7 Rachdi, Mustapha 7 Račkauskas, Alfredas Yurgevich 7 Rosenbaum, Mathieu 7 Shimizu, Yasutaka 7 Viens, Frederi G. 7 Xiao, Wei-Lin 7 Zhang, Zhengjun 6 Bianchi, Sergio 6 Bibinger, Markus 6 Clausel, Marianne 6 Galtchouk, Leonid I. 6 Hu, Yaozhong 6 Lavancier, Frédéric 6 León, José Rafael R. 6 Long, Hongwei 6 Madani, Fethi 6 Mason, David M. 6 Prünster, Igor 6 Robinson, Peter Michael 6 Roueff, François 6 Tartakovsky, Alexander G. 6 van Zanten, Harry 6 Viitasaari, Lauri 6 Wang, Jinde 6 Wang, Yizao 6 Zhang, Li-Xin 5 Beran, Jan 5 Bertrand, Pierre Raphael 5 Brodsky, Boris 5 Chronopoulou, Alexandra 5 Dette, Holger 5 Ferraty, Frédéric 5 Hoffmann, Marc R. 5 Ivanov, Aleksandr Vladimirovich 5 Kaino, Yusuke 5 Koike, Yuta 5 Küchler, Uwe 5 Nourdin, Ivan 5 Nualart, David 5 Pianese, Augusto 5 Ralchenko, Kostiantyn V. 5 Shen, Guangjun 5 Suquet, Charles 5 Tindel, Samy 5 Torres, Soledad 5 Wang, Hongxia 5 Yamada, Toshihiro 5 Yao, Anne-Françoise 5 Zhao, Shoujiang 4 Albeverio, Sergio A. 4 Angulo, José Miguel 4 Barbu, Vlad Stefan 4 Blondin, David ...and 1,479 more Authors
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#### Cited in 210 Journals

 113 Statistical Inference for Stochastic Processes 80 Statistics & Probability Letters 74 Stochastic Processes and their Applications 56 Electronic Journal of Statistics 54 Journal of Statistical Planning and Inference 51 Journal of Multivariate Analysis 48 Communications in Statistics. Theory and Methods 41 Journal of Econometrics 41 Bernoulli 37 Journal of Nonparametric Statistics 36 Comptes Rendus. Mathématique. Académie des Sciences, Paris 31 Annals of the Institute of Statistical Mathematics 26 The Annals of Statistics 25 Statistics 22 Mathematical Methods of Statistics 21 Computational Statistics and Data Analysis 20 Stochastic Analysis and Applications 20 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 19 Journal of Time Series Analysis 19 Journal of Theoretical Probability 17 Sequential Analysis 15 Scandinavian Journal of Statistics 15 Econometric Theory 14 Stochastics and Dynamics 13 Journal of Applied Probability 11 Metrika 11 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 11 Methodology and Computing in Applied Probability 11 Journal of Statistical Theory and Practice 10 Quantitative Finance 10 Journal of the Korean Statistical Society 9 Journal of Mathematical Analysis and Applications 9 Theory of Probability and Mathematical Statistics 9 Mathematical Problems in Engineering 9 International Journal of Theoretical and Applied Finance 9 Statistical Methods and Applications 9 The Annals of Applied Statistics 8 Statistical Papers 8 Asia-Pacific Financial Markets 7 The Annals of Probability 7 Random Operators and Stochastic Equations 6 Lithuanian Mathematical Journal 6 Computational Statistics 6 Advances in Difference Equations 6 Modern Stochastics. Theory and Applications 5 Advances in Applied Probability 5 Chaos, Solitons and Fractals 5 Theory of Probability and its Applications 5 Journal of the American Statistical Association 5 Probability Theory and Related Fields 5 Journal of Statistical Computation and Simulation 5 Acta Mathematica Sinica. English Series 5 Statistical Methodology 5 Japanese Journal of Statistics and Data Science 4 Mathematics of Operations Research 4 The Annals of Applied Probability 4 Communications in Statistics. Simulation and Computation 4 Test 4 Stochastic Models 4 Stochastics 4 Science China. Mathematics 4 Journal of Probability and Statistics 4 Statistics and Computing 3 Journal of Statistical Physics 3 Insurance Mathematics & Economics 3 Statistical Science 3 Journal of Mathematical Sciences (New York) 3 Chaos 3 Journal of the Royal Statistical Society. Series B. Statistical Methodology 3 Stochastic Environmental Research and Risk Assessment 3 Brazilian Journal of Probability and Statistics 3 Discrete and Continuous Dynamical Systems. Series B 3 Statistical Modelling 3 Frontiers of Mathematics in China 3 Acta Universitatis Sapientiae. Mathematica 3 Statistics Surveys 3 Sankhyā. Series A 3 Annals of Finance 3 Mathematical Statistics and Learning 2 Journal of Mathematical Biology 2 Problems of Information Transmission 2 Applied Mathematics and Computation 2 Applied Mathematics and Optimization 2 Automatica 2 Journal of the Korean Mathematical Society 2 Kybernetika 2 Acta Applicandae Mathematicae 2 Physica D 2 Journal of Economic Dynamics & Control 2 Journal of Integral Equations and Applications 2 Economics Letters 2 Applications of Mathematics 2 Automation and Remote Control 2 SIAM Journal on Scientific Computing 2 Applied and Computational Harmonic Analysis 2 Fractals 2 Bulletin des Sciences Mathématiques 2 Electronic Journal of Probability 2 The Journal of Fourier Analysis and Applications 2 Finance and Stochastics ...and 110 more Journals
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#### Cited in 32 Fields

 1,122 Statistics (62-XX) 864 Probability theory and stochastic processes (60-XX) 120 Numerical analysis (65-XX) 104 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 36 Systems theory; control (93-XX) 29 Harmonic analysis on Euclidean spaces (42-XX) 27 Biology and other natural sciences (92-XX) 19 Partial differential equations (35-XX) 16 Information and communication theory, circuits (94-XX) 14 Ordinary differential equations (34-XX) 14 Functional analysis (46-XX) 13 Dynamical systems and ergodic theory (37-XX) 11 Computer science (68-XX) 11 Geophysics (86-XX) 9 Integral equations (45-XX) 9 Operations research, mathematical programming (90-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Approximations and expansions (41-XX) 4 General and overarching topics; collections (00-XX) 4 Real functions (26-XX) 4 Measure and integration (28-XX) 4 Operator theory (47-XX) 3 Special functions (33-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Combinatorics (05-XX) 1 Sequences, series, summability (40-XX) 1 Differential geometry (53-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX)