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Statistical Inference for Stochastic Processes最新文献

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Generalized moment estimators for $$alpha $$-stable Ornstein–Uhlenbeck motions from discrete observations 离散观测下$$alpha $$ -稳定Ornstein-Uhlenbeck运动的广义矩估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-04-01 DOI: 10.1007/S11203-019-09201-4
Yiying Cheng, Yaozhong Hu, Hongwei Long
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引用次数: 8
Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails 带有重尾的l<s:1>驱动的Ornstein-Uhlenbeck过程的漂移估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-03-27 DOI: 10.1007/s11203-020-09210-8
A. Gushchin, I. Pavlyukevich, Marian Ritsch
{"title":"Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails","authors":"A. Gushchin, I. Pavlyukevich, Marian Ritsch","doi":"10.1007/s11203-020-09210-8","DOIUrl":"https://doi.org/10.1007/s11203-020-09210-8","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"65 1","pages":"553 - 570"},"PeriodicalIF":0.8,"publicationDate":"2020-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76903395","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: 4
Spot estimation for fractional Ornstein–Uhlenbeck stochastic volatility model: consistency and central limit theorem 分数阶Ornstein-Uhlenbeck随机波动模型的点估计:一致性和中心极限定理
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-03-27 DOI: 10.1007/s11203-020-09209-1
Yaroslav Eumenius-Schulz
{"title":"Spot estimation for fractional Ornstein–Uhlenbeck stochastic volatility model: consistency and central limit theorem","authors":"Yaroslav Eumenius-Schulz","doi":"10.1007/s11203-020-09209-1","DOIUrl":"https://doi.org/10.1007/s11203-020-09209-1","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"29 1","pages":"355 - 380"},"PeriodicalIF":0.8,"publicationDate":"2020-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82517270","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
Optimal iterative threshold-kernel estimation of jump diffusion processes 跳跃扩散过程的最优迭代阈值核估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-03-26 DOI: 10.1007/s11203-020-09211-7
José E. Figueroa-López, Cheng Li, Jeffrey A. Nisen
{"title":"Optimal iterative threshold-kernel estimation of jump diffusion processes","authors":"José E. Figueroa-López, Cheng Li, Jeffrey A. Nisen","doi":"10.1007/s11203-020-09211-7","DOIUrl":"https://doi.org/10.1007/s11203-020-09211-7","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"194 1","pages":"517 - 552"},"PeriodicalIF":0.8,"publicationDate":"2020-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74144847","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
The robust focused information criterion for strong mixing stochastic processes with $$mathscr {L}^{2}$$-differentiable parametric densities 具有$$mathscr {L}^{2}$$ -可微参数密度的强混合随机过程的鲁棒聚焦信息准则
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-03-20 DOI: 10.1007/s11203-020-09208-2
S. Pandhare, T. V. Ramanathan
{"title":"The robust focused information criterion for strong mixing stochastic processes with $$mathscr {L}^{2}$$-differentiable parametric densities","authors":"S. Pandhare, T. V. Ramanathan","doi":"10.1007/s11203-020-09208-2","DOIUrl":"https://doi.org/10.1007/s11203-020-09208-2","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"1 1","pages":"637-663"},"PeriodicalIF":0.8,"publicationDate":"2020-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76355590","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
Testing the equality of the laws of two strictly stationary processes 检验两个严格稳定过程的定律是否相等
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-02-25 DOI: 10.1007/s11203-022-09272-w
D. Pommeret, L. Reboul, A. Yao
{"title":"Testing the equality of the laws of two strictly stationary processes","authors":"D. Pommeret, L. Reboul, A. Yao","doi":"10.1007/s11203-022-09272-w","DOIUrl":"https://doi.org/10.1007/s11203-022-09272-w","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"64 1","pages":"193-214"},"PeriodicalIF":0.8,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80336351","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: 1
Simultaneous Testing of Change-Point Location and of a Regular Parameter by Poisson Observations 用泊松观测同时检验变点位置和正则参数
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-02-11 DOI: 10.1007/s11203-020-09207-3
S. Dachian, Lin Yang
{"title":"Simultaneous Testing of Change-Point Location and of a Regular Parameter by Poisson Observations","authors":"S. Dachian, Lin Yang","doi":"10.1007/s11203-020-09207-3","DOIUrl":"https://doi.org/10.1007/s11203-020-09207-3","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"88 3 1","pages":"465 - 487"},"PeriodicalIF":0.8,"publicationDate":"2020-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72924320","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: 1
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes 标记点过程的拟似然分析及其在标记Hawkes过程中的应用
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2020-01-31 DOI: 10.1007/s11203-021-09251-7
Simon Clinet
{"title":"Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes","authors":"Simon Clinet","doi":"10.1007/s11203-021-09251-7","DOIUrl":"https://doi.org/10.1007/s11203-021-09251-7","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"42 1","pages":"189 - 225"},"PeriodicalIF":0.8,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81139476","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: 2
A minimal contrast estimator for the linear fractional stable motion 线性分数阶稳定运动的最小对比度估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2019-11-08 DOI: 10.1007/s11203-020-09216-2
Mathias Mørck Ljungdahl, M. Podolskij
{"title":"A minimal contrast estimator for the linear fractional stable motion","authors":"Mathias Mørck Ljungdahl, M. Podolskij","doi":"10.1007/s11203-020-09216-2","DOIUrl":"https://doi.org/10.1007/s11203-020-09216-2","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"9 1","pages":"381 - 413"},"PeriodicalIF":0.8,"publicationDate":"2019-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78364592","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
Estimating FARIMA models with uncorrelated but non-independent error terms 误差项不相关但不独立的FARIMA模型的估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2019-10-16 DOI: 10.1007/s11203-021-09243-7
Y. Boubacar Maïnassara, Youssef Esstafa, B. Saussereau
{"title":"Estimating FARIMA models with uncorrelated but non-independent error terms","authors":"Y. Boubacar Maïnassara, Youssef Esstafa, B. Saussereau","doi":"10.1007/s11203-021-09243-7","DOIUrl":"https://doi.org/10.1007/s11203-021-09243-7","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":"20 1","pages":"549 - 608"},"PeriodicalIF":0.8,"publicationDate":"2019-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78705882","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
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