# Statistical Inference for Stochastic Processes

1998 - 2013

Edited by Denis Bosq

from Springer
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Volume 16, issue 2, 2013

Asymptotic normality of recursive estimators under strong mixing conditions pp. 81-96
Aboubacar Amiri
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion pp. 97-112
Ehsan Azmoodeh and Esko Valkeila
Predicting extinction or explosion in a Galton–Watson branching process pp. 113-125
Peter Guttorp and Michael Perlman
On rate-optimal nonparametric wavelet regression with long memory moving average errors pp. 127-145
Linyuan Li and Kewei Lu
Goodness-of-fit testing for fractional diffusions pp. 147-159
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
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
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
On the dependency for asymptotically independent estimates pp. 127-132
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
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
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

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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