Economics at your fingertips  

Statistical Inference for Stochastic Processes

1998 - 2014

Current editor(s): Denis Bosq

from Springer
Series data maintained by Guenther Eichhorn ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 17, issue 2, 2014

Central limit theorems for empirical product densities of stationary point processes pp. 121-138 Downloads
Lothar Heinrich and Stella Klein
On asymptotic distribution of parameter free tests for ergodic diffusion processes pp. 139-161 Downloads
Yury Kutoyants
Truncated stochastic approximation with moving bounds: convergence pp. 163-179 Downloads
Teo Sharia
Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations pp. 181-219 Downloads
Masayuki Uchida and Nakahiro Yoshida

Volume 17, issue 1, 2014

Change point testing for the drift parameters of a periodic mean reversion process pp. 1-18 Downloads
Herold Dehling, Brice Franke, Thomas Kott and Reg Kulperger
Second-order continuous-time non-stationary Gaussian autoregression pp. 19-49 Downloads
N. Lin and S. Lototsky
On goodness-of-fit testing for ergodic diffusion process with shift parameter pp. 51-73 Downloads
Ilia Negri and Li Zhou
Parameter estimation for the stochastic SIS epidemic model pp. 75-98 Downloads
Jiafeng Pan, Alison Gray, David Greenhalgh and Xuerong Mao
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise pp. 99-120 Downloads
Andreas Neuenkirch and Samy Tindel

Volume 16, issue 3, 2013

Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process pp. 173-192 Downloads
Katsuto Tanaka
On the asymptotic normality of frequency polygons for strongly mixing spatial processes pp. 193-206 Downloads
Mohamed El Machkouri
A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models pp. 207-236 Downloads
Joseph Ngatchou-Wandji and Michel Harel
Maximum likelihood estimation for small noise multiscale diffusions pp. 237-266 Downloads
Konstantinos Spiliopoulos and Alexandra Chronopoulou

Volume 16, issue 2, 2013

Asymptotic normality of recursive estimators under strong mixing conditions pp. 81-96 Downloads
Aboubacar Amiri
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion pp. 97-112 Downloads
Ehsan Azmoodeh and Esko Valkeila
Predicting extinction or explosion in a Galton–Watson branching process pp. 113-125 Downloads
Peter Guttorp and Michael Perlman
On rate-optimal nonparametric wavelet regression with long memory moving average errors pp. 127-145 Downloads
Linyuan Li and Kewei Lu
Goodness-of-fit testing for fractional diffusions pp. 147-159 Downloads
Mark Podolskij and Katrin Wasmuth
Local linear estimation for stochastic processes driven by $$\alpha $$ α -stable L $$\acute{\mathbf{e}}$$ e ´ vy motion pp. 161-171 Downloads
Yunyan Wang and Lixin Zhang

Volume 16, issue 1, 2013

On the Cramér–von Mises test with parametric hypothesis for poisson processes pp. 1-13 Downloads
A. Dabye
Improved estimation in a non-Gaussian parametric regression pp. 15-28 Downloads
Evgeny Pchelintsev
On inference for fractional differential equations pp. 29-61 Downloads
Alexandra Chronopoulou and Samy Tindel
Exact and approximate EM estimation of mutually exciting hawkes processes pp. 63-80 Downloads
Jamie Olson and Kathleen Carley

Volume 15, issue 3, 2012

Non-parametric estimation of the diffusion coefficient from noisy data pp. 193-223 Downloads
Emeline Schmisser
On large deviations in testing simple hypotheses for locally stationary Gaussian processes pp. 225-239 Downloads
Inder Tecuapetla-Gómez and Michael Nussbaum
Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases pp. 241-256 Downloads
Abdelhakim Aknouche
Wavelet estimation in diffusions with periodicity pp. 257-284 Downloads
Michael Diether

Volume 15, issue 2, 2012

Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models pp. 105-125 Downloads
Nadine Hilgert and Bruno Portier
On the dependency for asymptotically independent estimates pp. 127-132 Downloads
Christopher Withers and Saralees Nadarajah
Design for estimation of the drift parameter in fractional diffusion systems pp. 133-149 Downloads
Alexandre Brouste, Marina Kleptsyna and Alexandre Popier
Proving consistency of non-standard kernel estimators pp. 151-176 Downloads
David Mason
A functional central limit theorem for empirical processes under a strong mixing condition pp. 177-192 Downloads
Cristina Tone

Volume 15, issue 1, 2012

Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size pp. 1-26 Downloads
Jean-Christophe Breton and Jean-François Coeurjolly
Estimation of the instantaneous volatility pp. 27-59 Downloads
Alexander Alvarez, Fabien Panloup, Monique Pontier and Nicolas Savy
Asymptotic inference of unstable periodic ARCH processes pp. 61-79 Downloads
Abdelhakim Aknouche and Eid Al-Eid
On parameter estimation of threshold autoregressive models pp. 81-104 Downloads
Ngai Chan and Yury Kutoyants

Volume 14, issue 3, 2011

Quasi-likelihood analysis for the stochastic differential equation with jumps pp. 189-229 Downloads
T. Ogihara and N. Yoshida
A latent process model for time series of attributed random graphs pp. 231-253 Downloads
N. Lee and C. Priebe
On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios pp. 255-271 Downloads
Sergueï Dachian and Ilia Negri
On estimation of delay location pp. 273-305 Downloads
Alexander Gushchin and Uwe Küchler

Volume 14, issue 2, 2011

Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion pp. 101-109 Downloads
M. Mishra and B. Prakasa Rao
A branching particle approximation to a filtering micromovement model of asset price pp. 111-140 Downloads
Jie Xiong and Yong Zeng
Non-uniform spacings processes pp. 141-175 Downloads
Paul Deheuvels
Periodically correlated autoregressive Hilbertian processes pp. 177-188 Downloads
A. Soltani and M. Hashemi

Volume 14, issue 1, 2011

Nonparametric signal detection with small type I and type II error probabilities pp. 1-19 Downloads
Mikhail Ermakov
Sequential stochastic assignment under uncertainty: estimation and convergence pp. 21-46 Downloads
Adrian Lee and Sheldon Jacobson
Spectral estimation on the sphere with needlets: high frequency asymptotics pp. 47-71 Downloads
Gilles Faÿ and Frédéric Guilloux
Asymptotic normality of the Parzen–Rosenblatt density estimator for strongly mixing random fields pp. 73-84 Downloads
Mohamed El Machkouri
Estimating the order of mean-square derivatives with quadratic variations pp. 85-99 Downloads
Delphine Blanke and Céline Vial

Volume 13, issue 3, 2010

Local Whittle likelihood estimators and tests for non-Gaussian stationary processes pp. 163-174 Downloads
Tomohito Naito, Kohei Asai, Tomoyuki Amano and Masanobu Taniguchi
Drift estimation for a periodic mean reversion process pp. 175-192 Downloads
Herold Dehling, Brice Franke and Thomas Kott
Estimating discontinuous periodic signals in a time inhomogeneous diffusion pp. 193-230 Downloads
Reinhard Höpfner and Yury Kutoyants
Statistical estimation for reflected skew processes pp. 231-248 Downloads
Olivier Bardou and Miguel Martinez

Volume 13, issue 2, 2010

Goodness-of-fit test for switching diffusion pp. 97-123 Downloads
A. Gassem
A simple estimator for discrete-time samples from affine stochastic delay differential equations pp. 125-132 Downloads
Uwe Küchler and Michael Sørensen
Exact asymptotic bias for estimators of the Ornstein–Uhlenbeck process pp. 133-145 Downloads
Denis Bosq
Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE pp. 147-161 Downloads
Sangyeol Lee and Hiroki Masuda

Volume 13, issue 1, 2010

Asymptotic properties of MLE for partially observed fractional diffusion system pp. 1-13 Downloads
Alexandre Brouste and Marina Kleptsyna
New tests for jumps in semimartingale models pp. 15-41 Downloads
Mark Podolskij and D. Ziggel
Global property of error density estimation in nonlinear autoregressive time series models pp. 43-53 Downloads
Fuxia Cheng
Frequency polygons for continuous random fields pp. 55-80 Downloads
Nadia Bensaïd and Sophie Dabo-Niang
Goodness of fit test for ergodic diffusions by tick time sample scheme pp. 81-95 Downloads
Ilia Negri and Yoichi Nishiyama
Page updated 2014-09-28