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Statistical Inference for Stochastic Processes
1998 - 2013
Edited by Denis Bosq
from Springer
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Volume 16, issue 1 , 2013
On the Cramér–von Mises test with parametric hypothesis for poisson processes pp. 1-13 A. Dabye Improved estimation in a non-Gaussian parametric regression pp. 15-28 Evgeny Pchelintsev On inference for fractional differential equations pp. 29-61 Alexandra Chronopoulou and Samy Tindel Exact and approximate EM estimation of mutually exciting hawkes processes pp. 63-80 Jamie Olson and Kathleen Carley Volume 15, issue 3 , 2012
Non-parametric estimation of the diffusion coefficient from noisy data pp. 193-223 Emeline Schmisser On large deviations in testing simple hypotheses for locally stationary Gaussian processes pp. 225-239 Inder Tecuapetla-Gómez and Michael Nussbaum Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases pp. 241-256 Abdelhakim Aknouche Wavelet estimation in diffusions with periodicity pp. 257-284 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 Nadine Hilgert and Bruno Portier On the dependency for asymptotically independent estimates pp. 127-132 Christopher Withers and Saralees Nadarajah Design for estimation of the drift parameter in fractional diffusion systems pp. 133-149 Alexandre Brouste , Marina Kleptsyna and Alexandre Popier Proving consistency of non-standard kernel estimators pp. 151-176 David Mason A functional central limit theorem for empirical processes under a strong mixing condition pp. 177-192 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 Jean-Christophe Breton and Jean-François Coeurjolly Estimation of the instantaneous volatility pp. 27-59 Alexander Alvarez , Fabien Panloup , Monique Pontier and Nicolas Savy Asymptotic inference of unstable periodic ARCH processes pp. 61-79 Abdelhakim Aknouche and Eid Al-Eid On parameter estimation of threshold autoregressive models pp. 81-104 Ngai Chan and Yury Kutoyants Volume 14, issue 3 , 2011
Quasi-likelihood analysis for the stochastic differential equation with jumps pp. 189-229 T. Ogihara and N. Yoshida A latent process model for time series of attributed random graphs pp. 231-253 N. Lee and C. Priebe On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios pp. 255-271 Sergueï Dachian and Ilia Negri On estimation of delay location pp. 273-305 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 M. Mishra and B. Prakasa Rao A branching particle approximation to a filtering micromovement model of asset price pp. 111-140 Jie Xiong and Yong Zeng Non-uniform spacings processes pp. 141-175 Paul Deheuvels Periodically correlated autoregressive Hilbertian processes pp. 177-188 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 Mikhail Ermakov Sequential stochastic assignment under uncertainty: estimation and convergence pp. 21-46 Adrian Lee and Sheldon Jacobson Spectral estimation on the sphere with needlets: high frequency asymptotics pp. 47-71 Gilles Faÿ and Frédéric Guilloux Asymptotic normality of the Parzen–Rosenblatt density estimator for strongly mixing random fields pp. 73-84 Mohamed El Machkouri Estimating the order of mean-square derivatives with quadratic variations pp. 85-99 Delphine Blanke and Céline Vial Volume 13, issue 3 , 2010
Local Whittle likelihood estimators and tests for non-Gaussian stationary processes pp. 163-174 Tomohito Naito , Kohei Asai , Tomoyuki Amano and Masanobu Taniguchi Drift estimation for a periodic mean reversion process pp. 175-192 Herold Dehling , Brice Franke and Thomas Kott Estimating discontinuous periodic signals in a time inhomogeneous diffusion pp. 193-230 Reinhard Höpfner and Yury Kutoyants Statistical estimation for reflected skew processes pp. 231-248 Olivier Bardou and Miguel Martinez Volume 13, issue 2 , 2010
Goodness-of-fit test for switching diffusion pp. 97-123 A. Gassem A simple estimator for discrete-time samples from affine stochastic delay differential equations pp. 125-132 Uwe Küchler and Michael Sørensen Exact asymptotic bias for estimators of the Ornstein–Uhlenbeck process pp. 133-145 Denis Bosq Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE pp. 147-161 Sangyeol Lee and Hiroki Masuda Volume 13, issue 1 , 2010
Asymptotic properties of MLE for partially observed fractional diffusion system pp. 1-13 Alexandre Brouste and Marina Kleptsyna New tests for jumps in semimartingale models pp. 15-41 Mark Podolskij and D. Ziggel Global property of error density estimation in nonlinear autoregressive time series models pp. 43-53 Fuxia Cheng Frequency polygons for continuous random fields pp. 55-80 Nadia Bensaïd and Sophie Dabo-Niang Goodness of fit test for ergodic diffusions by tick time sample scheme pp. 81-95 Ilia Negri and Yoichi Nishiyama Volume 12, issue 3 , 2009
Parameter estimation in diagonalizable bilinear stochastic parabolic equations pp. 203-219 Igor Cialenco and Sergey Lototsky Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion pp. 221-250 Michael Levine , Soledad Torres and Frederi Viens The normal approximation rate for the drift estimator of multidimensional diffusions pp. 251-268 Annamaria Bianchi Rates of strong uniform convergence of the k T -occupation time density estimator pp. 269-283 Boris Labrador Volume 12, issue 2 , 2009
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model pp. 115-137 Janko Hernandez , Pablo Olivares and Marcos Escobar Maximum likelihood estimator for hidden Markov models in continuous time pp. 139-163 Pavel Chigansky Test for parameter change in discretely observed diffusion processes pp. 165-183 Junmo Song and Sangyeol Lee Hájek-Inagaki convolution representation theorem for randomly stopped locally asymptotically mixed normal experiments pp. 185-201 George Roussas and Debasis Bhattacharya Volume 12, issue 1 , 2009
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type pp. 1-19 Luis Valdivieso , Wim Schoutens and Francis Tuerlinckx Confidence regions for the intensity function of a cyclic Poisson process pp. 21-36 Roelof Helmers , Qiying Wang and Ričardas Zitikis Stein estimation of Poisson process intensities pp. 37-53 Nicolas Privault and Anthony Réveillac Strong law of large numbers for pairwise positive quadrant dependent random variables pp. 55-64 Alessio Sancetta An empirical central limit theorem with applications to copulas under weak dependence pp. 65-87 Paul Doukhan , Jean-David Fermanian and Gabriel Lang On approximating max-stable processes and constructing extremal copula functions pp. 89-114 Zhengjun Zhang
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