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Statistical Inference for Stochastic Processes

1998 - 2017

Current editor(s): Denis Bosq, Yury A. Kutoyants and Marc Hallin

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Volume 20, issue 1, 2017

Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean pp. 1-14 Downloads
Herold Dehling, Brice Franke and Jeannette H. C. Woerner
Time endogeneity and an optimal weight function in pre-averaging covariance estimation pp. 15-56 Downloads
Yuta Koike
On maximum likelihood estimation of the drift matrix of a degenerated O–U process pp. 57-78 Downloads
Ana Prior, Marina Kleptsyna and Paula Milheiro-Oliveira
Memory properties of transformations of linear processes pp. 79-103 Downloads
Hailin Sang and Yongli Sang
Two-step estimation of ergodic Lévy driven SDE pp. 105-137 Downloads
Hiroki Masuda and Yuma Uehara

Volume 19, issue 3, 2016

On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator pp. 259-287 Downloads
Maroua Ben Abdeddaiem
Integral curves from noisy diffusion MRI data with closed-form uncertainty estimates pp. 289-319 Downloads
Owen Carmichael and Lyudmila Sakhanenko
Classification error in multiclass discrimination from Markov data pp. 321-336 Downloads
Sören Christensen, Albrecht Irle and Lars Willert
Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions pp. 337-361 Downloads
Stella Kitromilidou and Konstantinos Fokianos
Asymptotics for random functions moderated by dependent noise pp. 363-387 Downloads
Ansgar Steland

Volume 19, issue 2, 2016

Bidimensional random effect estimation in mixed stochastic differential model pp. 131-158 Downloads
C. Dion and V. Genon-Catalot
A kriging procedure for processes indexed by graphs pp. 159-173 Downloads
T. Espinasse and J.-M. Loubes
Estimating integrated co-volatility with partially miss-ordered high frequency data pp. 175-197 Downloads
Zhi Liu
Modified Schwarz and Hannan–Quinn information criteria for weak VARMA models pp. 199-217 Downloads
Yacouba Boubacar Maïnassara and Célestin C. Kokonendji
Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation pp. 219-234 Downloads
Ivan Nourdin, David Nualart and Rola Zintout
The Gumbel test and jumps in the volatility process pp. 235-258 Downloads
Christian Palmes and Jeannette H. C. Woerner

Volume 19, issue 1, 2016

Estimating functions for noisy observations of ergodic diffusions pp. 1-28 Downloads
Benjamin Favetto
On the consistency of the MLE for Ornstein–Uhlenbeck and other selfdecomposable processes pp. 29-50 Downloads
Michael Grabchak
Nonparametric regression on random fields with random design using wavelet method pp. 51-69 Downloads
Linyuan Li
Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case pp. 71-91 Downloads
Ester Mariucci
Asymptotic theory of parameter estimation by a contrast function based on interpolation error pp. 93-110 Downloads
Yoshihiro Suto, Yan Liu and Masanobu Taniguchi
Blockwise bootstrap of the estimated empirical process based on $$\psi $$ ψ -weakly dependent observations pp. 111-129 Downloads
Barbara Wieczorek

Volume 18, issue 3, 2015

Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind pp. 205-227 Downloads
Ehsan Azmoodeh and Lauri Viitasaari
Adaptive pointwise estimation for pure jump Lévy processes pp. 229-256 Downloads
Mélina Bec and Claire Lacour
Cox process functional learning pp. 257-277 Downloads
Gérard Biau, Benoît Cadre and Quentin Paris
Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations pp. 279-291 Downloads
Yaozhong Hu, Chihoon Lee, Myung Lee and Jian Song
Stability of the filter with Poisson observations pp. 293-313 Downloads
Zhiqiang Li and Jie Xiong
Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process pp. 315-332 Downloads
Katsuto Tanaka

Volume 18, issue 2, 2015

Quadratic random coefficient autoregression with linear-in-parameters volatility pp. 99-125 Downloads
Abdelhakim Aknouche
On a Poissonian change-point model with variable jump size pp. 127-150 Downloads
Sergueï Dachian and Lin Yang
Asymptotic behavior of mixed power variations and statistical estimation in mixed models pp. 151-175 Downloads
Marco Dozzi, Yuliya Mishura and Georgiy Shevchenko
Hybrid multi-step estimators for stochastic differential equations based on sampled data pp. 177-204 Downloads
Kengo Kamatani and Masayuki Uchida

Volume 18, issue 1, 2015

Difference based estimators and infill statistics pp. 1-31 Downloads
José León and Carenne Ludeña
Limit theorems for bifurcating integer-valued autoregressive processes pp. 33-67 Downloads
Bernard Bercu and Vassili Blandin
Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes pp. 69-98 Downloads
Dominique Dehay

Volume 17, issue 3, 2014

On stationarity and second-order properties of bilinear random fields pp. 221-244 Downloads
Abdelouahab Bibi and Karima Kimouche
Histograms for stationary linear random fields pp. 245-266 Downloads
Michel Carbon
AIC type statistics for discretely observed ergodic diffusion processes pp. 267-282 Downloads
Takayuki Fujii and Masayuki Uchida
Misparametrization subsets for penalized least squares model selection pp. 283-294 Downloads
Xavier Guyon and Cécile Hardouin
On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes pp. 295-319 Downloads
M. Kleptsyna and Yu. Kutoyants

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
Page updated 2017-04-30