Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process

17 April 2019

Papers citing "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process"

8 / 8 papers shown

Title
Contrast function estimation for the drift parameter of ergodic jump diffusion process Chiara Amorino A. Gloter 30 24 0 24 Jul 2018
Estimating the interaction graph of stochastic neural dynamics A. Duarte A. Galves E. Löcherbach G. Ost 33 20 0 01 Apr 2016
Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean H. Dehling B. Franke Jeannette H. C. Woerner 18 45 0 10 Sep 2015
An estimation procedure for the Hawkes process Matthias Kirchner 101 85 0 07 Sep 2015
Second order statistics characterization of Hawkes processes and non-parametric estimation Emmanuel Bacry Jean-François Muzy 78 31 0 05 Jan 2014
Lasso and probabilistic inequalities for multivariate point processes N. Hansen Patricia Reynaud-Bouret Vincent Rivoirard 142 189 0 02 Aug 2012
Non-parametric adaptive estimation of the drift for a jump diffusion process Emeline Schmisser 104 33 0 12 Jun 2012
Penalized nonparametric mean square estimation of the coefficients of diffusion processes Fabienne Comte V. Genon‐Catalot Y. Rozenholc 108 107 0 30 Aug 2007