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Statistical Inference for Stochastic Processes最新文献

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Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise 具有平稳高斯噪声的自回归模型均值回归参数变化的检验
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-06-09 DOI: 10.1007/s11203-020-09217-1
A. Brouste, C. Cai, M. Soltane, Longmin Wang
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引用次数: 5
Parameter identification for the Hermite Ornstein–Uhlenbeck process Hermite Ornstein-Uhlenbeck工艺参数辨识
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-06-07 DOI: 10.1007/s11203-020-09219-z
Obayda Assaad, C. Tudor
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引用次数: 1
Hawkes process and Edgeworth expansion with application to maximum likelihood estimator Hawkes过程和Edgeworth展开及其在极大似然估计中的应用
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-05-28 DOI: 10.1007/s11203-021-09237-5
Masato Goda
{"title":"Hawkes process and Edgeworth expansion with application to maximum likelihood estimator","authors":"Masato Goda","doi":"10.1007/s11203-021-09237-5","DOIUrl":"https://doi.org/10.1007/s11203-021-09237-5","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"117 1","pages":"277 - 325"},"PeriodicalIF":0.8,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88239137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Likelihood theory for the graph Ornstein-Uhlenbeck process 图Ornstein-Uhlenbeck过程的似然理论
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-05-26 DOI: 10.1007/s11203-021-09257-1
Valentin Courgeau, Almut E. D. Veraart
{"title":"Likelihood theory for the graph Ornstein-Uhlenbeck process","authors":"Valentin Courgeau, Almut E. D. Veraart","doi":"10.1007/s11203-021-09257-1","DOIUrl":"https://doi.org/10.1007/s11203-021-09257-1","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"5 1","pages":"227 - 260"},"PeriodicalIF":0.8,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74888865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Comparison of the LS-based estimators and the MLE for the fractional Ornstein–Uhlenbeck process 分数阶Ornstein-Uhlenbeck过程中基于ls的估计量与最大似然的比较
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-05-21 DOI: 10.1007/s11203-020-09215-3
Katsuto Tanaka
{"title":"Comparison of the LS-based estimators and the MLE for the fractional Ornstein–Uhlenbeck process","authors":"Katsuto Tanaka","doi":"10.1007/s11203-020-09215-3","DOIUrl":"https://doi.org/10.1007/s11203-020-09215-3","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"71 1","pages":"415 - 434"},"PeriodicalIF":0.8,"publicationDate":"2020-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83616380","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter 具有小Hurst参数的分数阶布朗运动随机微分方程的m估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-05-09 DOI: 10.1007/s11203-020-09214-4
Kohei Chiba
{"title":"An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter","authors":"Kohei Chiba","doi":"10.1007/s11203-020-09214-4","DOIUrl":"https://doi.org/10.1007/s11203-020-09214-4","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"33 1","pages":"319 - 353"},"PeriodicalIF":0.8,"publicationDate":"2020-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74899831","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process 由Hawkes过程驱动的跳变扩散的非参数漂移估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-05-07 DOI: 10.1007/s11203-020-09213-5
C. Dion, Sarah Lemler
{"title":"Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process","authors":"C. Dion, Sarah Lemler","doi":"10.1007/s11203-020-09213-5","DOIUrl":"https://doi.org/10.1007/s11203-020-09213-5","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"13 1","pages":"489 - 515"},"PeriodicalIF":0.8,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81356753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Oscillating Gaussian processes 振荡高斯过程
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-04-29 DOI: 10.1007/s11203-020-09212-6
Pauliina Ilmonen, S. Torres, L. Viitasaari
{"title":"Oscillating Gaussian processes","authors":"Pauliina Ilmonen, S. Torres, L. Viitasaari","doi":"10.1007/s11203-020-09212-6","DOIUrl":"https://doi.org/10.1007/s11203-020-09212-6","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"38 12 1","pages":"571 - 593"},"PeriodicalIF":0.8,"publicationDate":"2020-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75863233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations 离散观测下分数阶Ornstein-Uhlenbeck模型中所有参数的估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-04-10 DOI: 10.1007/s11203-020-09235-z
El Mehdi Haress, Yaozhong Hu
{"title":"Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations","authors":"El Mehdi Haress, Yaozhong Hu","doi":"10.1007/s11203-020-09235-z","DOIUrl":"https://doi.org/10.1007/s11203-020-09235-z","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"84 1","pages":"327 - 351"},"PeriodicalIF":0.8,"publicationDate":"2020-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74191173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Nonparametric estimation for I.I.D. paths of fractional SDE 分数SDE的非参数估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-04-04 DOI: 10.1007/s11203-021-09246-4
F. Comte, Nicolas Marie
{"title":"Nonparametric estimation for I.I.D. paths of fractional SDE","authors":"F. Comte, Nicolas Marie","doi":"10.1007/s11203-021-09246-4","DOIUrl":"https://doi.org/10.1007/s11203-021-09246-4","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"6 1","pages":"669 - 705"},"PeriodicalIF":0.8,"publicationDate":"2020-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86808439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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