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Statistical Inference for Stochastic Processes

1998 - 2018

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

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Volume 21, issue 3, 2018

Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models pp. 485-511 Downloads
Abdelhakim Aknouche, Eid Al-Eid and Nacer Demouche
A frequency-domain test for long range dependence pp. 513-526 Downloads
Gennadi Gromykov, Mohamedou Ould Haye and Anne Philippe
Local asymptotic normality for shape and periodicity in the drift of a time inhomogeneous diffusion pp. 527-538 Downloads
Simon Holbach
Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion pp. 539-551 Downloads
Antoine Lejay
Moderate deviations for parameters estimation in a geometrically ergodic Heston process pp. 553-567 Downloads
Marie Roy de Chaumaray
Parameter estimation for the Langevin equation with stationary-increment Gaussian noise pp. 569-601 Downloads
Tommi Sottinen and Lauri Viitasaari
Adaptive nonparametric drift estimation for diffusion processes using Faber–Schauder expansions pp. 603-628 Downloads
Frank Meulen, Moritz Schauer and Jan Waaij

Volume 21, issue 2, 2018

Foreword from the editors… pp. 261-262 Downloads
Marc Hallin and Yury Kutoyants
Polygonal smoothing of the empirical distribution function pp. 263-287 Downloads
D. Blanke and D. Bosq
Efficient estimation of stable Lévy process with symmetric jumps pp. 289-307 Downloads
Alexandre Brouste and Hiroki Masuda
Statistical inference for SPDEs: an overview pp. 309-329 Downloads
Igor Cialenco
Estimating linear functionals of a sparse family of Poisson means pp. 331-344 Downloads
Olivier Collier and Arnak S. Dalalyan
Estimation of cusp location of stochastic processes: a survey pp. 345-362 Downloads
S. Dachian, N. Kordzakhia, Yu. A. Kutoyants and A. Novikov
Translation invariant statistical experiments with independent increments pp. 363-383 Downloads
Alexander Gushchin, Nino Kordzakhia and Alexander Novikov
Optimal dimension reduction for high-dimensional and functional time series pp. 385-398 Downloads
Marc Hallin, Siegfried Hörmann and Marco Lippi
LAMN in a class of parametric models for null recurrent diffusions pp. 399-413 Downloads
Reinhard Höpfner and Carina Zeller
A review of asymptotic theory of estimating functions pp. 415-434 Downloads
Jean Jacod and Michael Sørensen
Hybrid estimators for stochastic differential equations from reduced data pp. 435-454 Downloads
Yusuke Kaino and Masayuki Uchida
Analysis of variance for high-dimensional time series pp. 455-468 Downloads
Hideaki Nagahata and Masanobu Taniguchi
Oracle inequalities for the stochastic differential equations pp. 469-483 Downloads
E. A. Pchelintsev and S. M. Pergamenshchikov

Volume 21, issue 1, 2018

Trajectory fitting estimators for SPDEs driven by additive noise pp. 1-19 Downloads
Igor Cialenco, Ruoting Gong and Yicong Huang
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation pp. 21-52 Downloads
Marco Dozzi, Yuriy Kozachenko, Yuliya Mishura and Kostiantyn Ralchenko
A non-parametric Bayesian approach to decompounding from high frequency data pp. 53-79 Downloads
Shota Gugushvili, Frank Meulen and Peter Spreij
Non-parametric estimation of the spiking rate in systems of interacting neurons pp. 81-111 Downloads
P. Hodara, N. Krell and E. Löcherbach
Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients pp. 113-140 Downloads
Sixian Jin, Qidi Peng and Henry Schellhorn
Nonparametric estimation for irregularly sampled Lévy processes pp. 141-167 Downloads
Johanna Kappus
Statistical inference of 2-type critical Galton–Watson processes with immigration pp. 169-190 Downloads
Kristóf Körmendi and Gyula Pap
Estimation and testing in generalized mean-reverting processes with change-point pp. 191-215 Downloads
Sévérien Nkurunziza and Pei Patrick Zhang
Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data pp. 217-259 Downloads
Serguei Pergamenchtchikov and Alexander G. Tartakovsky

Volume 20, issue 3, 2017

Foreword from the Editors pp. 273-274 Downloads
Marc Hallin and Yury Kutoyants
Circular autocorrelation of stationary circular Markov processes pp. 275-290 Downloads
Toshihiro Abe, Hiroaki Ogata, Takayuki Shiohama and Hiroyuki Taniai
Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models pp. 291-313 Downloads
Fumiya Akashi
Asymptotic normality of quadratic forms of martingale differences pp. 315-327 Downloads
Liudas Giraitis, Masanobu Taniguchi and Murad S. Taqqu
Time series regression models with locally stationary disturbance pp. 329-346 Downloads
Junichi Hirukawa
The asymptotics of misspecified MLEs for some stochastic processes: a survey pp. 347-367 Downloads
Yury A. Kutoyants
Statistical inference for quantiles in the frequency domain pp. 369-386 Downloads
Yan Liu
Moment convergence of Z-estimators pp. 387-397 Downloads
Ilia Negri and Yoichi Nishiyama

Volume 20, issue 2, 2017

Periodic autoregressive stochastic volatility pp. 139-177 Downloads
Abdelhakim Aknouche
Autoregressive functions estimation in nonlinear bifurcating autoregressive models pp. 179-210 Downloads
S. Valère Bitseki Penda and Adélaïde Olivier
Parameter estimation of Ornstein–Uhlenbeck process generating a stochastic graph pp. 211-235 Downloads
Emmanuel Gobet and Gustaw Matulewicz
Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise pp. 237-252 Downloads
Wooyong Lee, Priscilla E. Greenwood, Nancy Heckman and Wolfgang Wefelmeyer
The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points pp. 253-272 Downloads
Michael Messer and Gaby Schneider

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
Page updated 2018-12-15