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On the nonparametric inference of coefficients of self-exciting jump-diffusion
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On the nonparametric inference of coefficients of self-exciting jump-diffusion

Chiara Amorino
Charlotte Dion
A. Gloter
Sarah Lemler
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Papers citing "On the nonparametric inference of coefficients of self-exciting jump-diffusion"

13 / 13 papers shown
Title
On a Nadaraya-Watson Estimator with Two Bandwidths
On a Nadaraya-Watson Estimator with Two Bandwidths
Fabienne Comte
Nicolas Marie
45
8
0
26 Jan 2020
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes
Chiara Amorino
A. Gloter
70
12
0
21 Jan 2020
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
Chiara Amorino
A. Gloter
36
13
0
24 Apr 2019
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
Charlotte Dion
Sarah Lemler
109
9
0
17 Apr 2019
Nonparametric estimation of jump rates for a specific class of Piecewise Deterministic Markov Processes
Nonparametric estimation of jump rates for a specific class of Piecewise Deterministic Markov Processes
Nathalie Krell
Emeline Schmisser
44
4
0
29 Jan 2019
Contrast function estimation for the drift parameter of ergodic jump diffusion process
Contrast function estimation for the drift parameter of ergodic jump diffusion process
Chiara Amorino
A. Gloter
43
24
0
24 Jul 2018
Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
Kweku Abraham
54
21
0
15 Feb 2018
Estimator selection: a new method with applications to kernel density estimation
Estimator selection: a new method with applications to kernel density estimation
C. Lacour
P. Massart
Vincent Rivoirard
67
57
0
18 Jul 2016
Statistical Inference for Ergodic Point Processes and Application to Limit Order Book
Statistical Inference for Ergodic Point Processes and Application to Limit Order Book
Simon Clinet
Nakahiro Yoshida
130
49
0
07 Dec 2015
Bandwidth selection in kernel density estimation: Oracle inequalities and adaptive minimax optimality
Bandwidth selection in kernel density estimation: Oracle inequalities and adaptive minimax optimality
A. Goldenshluger
O. Lepski
393
245
0
06 Sep 2010
Testing for common arrivals of jumps for discretely observed multidimensional processes
Testing for common arrivals of jumps for discretely observed multidimensional processes
J. Jacod
Viktor Todorov
95
174
0
13 Aug 2009
Nonparametric estimation for Lévy processes from low-frequency observations
Nonparametric estimation for Lévy processes from low-frequency observations
Michael H. Neumann
M. Reiß
130
154
0
13 Sep 2007
Penalized nonparametric mean square estimation of the coefficients of diffusion processes
Penalized nonparametric mean square estimation of the coefficients of diffusion processes
Fabienne Comte
V. Genon‐Catalot
Y. Rozenholc
118
107
0
30 Aug 2007