Statistical Inference for Stochastic Processes

1998 - 2025

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

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Volume 25, issue 3, 2022

On minimax robust testing of composite hypotheses on Poisson process intensity pp. 431-448

M. V. Burnashev

A chi-square type test for time-invariant fiber pathways of the brain pp. 449-469

Juna Goo, Lyudmila Sakhanenko and David C. Zhu

Optimal linear interpolation of multiple missing values pp. 471-483

Tucker McElroy and Dimitris N. Politis

Weak convergence of nonparametric estimators of the multidimensional and multidimensional-multivariate renewal functions on Skorohod topology spaces pp. 485-504

Michel Harel, Joseph Ngatchou-Wandji, Livasoa Andriamampionona and Victor Harison

A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes pp. 505-535

Katerina Papagiannouli

Improved estimation method for high dimension semimartingale regression models based on discrete data pp. 537-576

Evgeny Pchelintsev, Serguei Pergamenshchikov and Maria Leshchinskaya

Finite-sample properties of estimators for first and second order autoregressive processes pp. 577-598

Sigrunn H. Sørbye, Pedro G. Nicolau and Håvard Rue

Randomized consistent statistical inference for random processes and fields pp. 599-627

Arkady Tempelman

Volume 25, issue 2, 2022

Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes pp. 189-225

Simon Clinet

Likelihood theory for the graph Ornstein-Uhlenbeck process pp. 227-260

Valentin Courgeau and Almut Veraart

Detection and identification of changes of hidden Markov chains: asymptotic theory pp. 261-301

Savas Dayanik and Kazutoshi Yamazaki

Contrast estimation for noisy observations of diffusion processes via closed-form density expansions pp. 303-336

Salima El Kolei and Fabien Navarro

Martingale estimation functions for Bessel processes pp. 337-353

Nicole Hufnagel and Jeannette H. C. Woerner

Estimation of stationary probability of semi-Markov Chains pp. 355-364

Nikolaos Limnios and Bei Wu

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination pp. 365-396

Kevin W. Lu

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations pp. 397-430

Yozo Tonaki, Yusuke Kaino and Masayuki Uchida

Volume 25, issue 1, 2022

Preface pp. 1-1

O Lepski

On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients pp. 3-16

R. Z. Khasminskii and N. V. Krylov

On minimax cardinal spline interpolation pp. 17-41

B. Levit

Quasi-likelihood analysis and its applications pp. 43-60

Nakahiro Yoshida

Estimation of the position and time of emission of a source pp. 61-82

O. V. Chernoyarov, S. Dachian, C. Farinetto and Yu. A. Kutoyants

MAP and Bayes tests in sparse vectors detection pp. 83-103

Golubev Yuri

Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps pp. 105-125

Hongjiang Qian, Zhexin Wen and George Yin

Adaptive efficient analysis for big data ergodic diffusion models pp. 127-158

Leonid I. Galtchouk and Serge M. Pergamenshchikov

Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend pp. 159-187

Alexander Kukush, Stanislav Lohvinenko, Yuliya Mishura and Kostiantyn Ralchenko

Volume 24, issue 3, 2021

On smooth change-point location estimation for Poisson Processes pp. 499-524

Arij Amiri and Sergueï Dachian

Asymptotic properties of conditional least-squares estimators for array time series pp. 525-547

Rajae Azrak and Guy Mélard

Estimating FARIMA models with uncorrelated but non-independent error terms pp. 549-608

Yacouba Boubacar Maïnassara, Youssef Esstafa and Bruno Saussereau

SPHARMA approximations for stationary functional time series on the sphere pp. 609-634

Alessia Caponera

Asymptotic distribution of the score test for detecting marks in hawkes processes pp. 635-668

Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters and Kylie-Anne Richards

Nonparametric estimation for I.I.D. paths of fractional SDE pp. 669-705

Fabienne Comte and Nicolas Marie

Hypotheses testing and posterior concentration rates for semi-Markov processes pp. 707-732

I. Votsi, G. Gayraud, V. S. Barbu and N. Limnios

Shrinkage estimation for multivariate time series pp. 733-751

Yan Liu, Yoshiyuki Tanida and Masanobu Taniguchi

Volume 24, issue 2, 2021

Semiparametric estimation for space-time max-stable processes: an F-madogram-based approach pp. 241-276

A. Abu-Awwad, V. Maume-Deschamps and P. Ribereau

Hawkes process and Edgeworth expansion with application to maximum likelihood estimator pp. 277-325

Masatoshi Goda

Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations pp. 327-351

El Mehdi Haress and Yaozhong Hu

A Kalman particle filter for online parameter estimation with applications to affine models pp. 353-403

Jian He, Asma Khedher and Peter Spreij

How to test that a given process is an Ornstein–Uhlenbeck process pp. 405-419

Estate V. Khmaladze

Maximum spacing estimation for continuous time Markov chains and semi-Markov processes pp. 421-443

Kristi Kuljus and Bo Ranneby

Nonparametric model for a tensor field based on high angular resolution diffusion imaging (HARDI) pp. 445-476

Lyudmila Sakhanenko, Michael DeLaura and David C. Zhu

Estimation of stopping times for stopped self-similar random processes pp. 477-498

Viktor Schulmann

Volume 24, issue 1, 2021

The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes pp. 1-15

Andrea Arfè, Stefano Peluso and Pietro Muliere

Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations pp. 17-33

Dominique Dehay, Khalil El Waled and Vincent Monsan

Polynomials under Ornstein–Uhlenbeck noise and an application to inference in stochastic Hodgkin–Huxley systems pp. 35-59

Reinhard Höpfner

Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function pp. 61-148

Chiara Amorino and Arnaud Gloter

Nonparametric estimation for i.i.d. Gaussian continuous time moving average models pp. 149-177

Fabienne Comte and Valentine Genon-Catalot

The value of the high, low and close in the estimation of Brownian motion pp. 179-210

Kurt Riedel

On Neyman–Pearson minimax detection of Poisson process intensity pp. 211-221

M. V. Burnashev

EM algorithm for stochastic hybrid systems pp. 223-239

Masaaki Fukasawa

Volume 23, issue 3, 2020

Simultaneous Testing of Change-Point Location and of a Regular Parameter by Poisson Observations pp. 465-487

Sergueï Dachian and Lin Yang

Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process pp. 489-515

Charlotte Dion and Sarah Lemler

Optimal iterative threshold-kernel estimation of jump diffusion processes pp. 517-552

José E. Figueroa-López, Cheng Li and Jeffrey Nisen

Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails pp. 553-570

Alexander Gushchin, Ilya Pavlyukevich and Marian Ritsch

Oscillating Gaussian processes pp. 571-593

Pauliina Ilmonen, Soledad Torres and Lauri Viitasaari

Parametric inference for hypoelliptic ergodic diffusions with full observations pp. 595-635

Anna Melnykova

The robust focused information criterion for strong mixing stochastic processes with $$\mathscr {L}^{2}$$ L 2 -differentiable parametric densities pp. 637-663

S. C. Pandhare and T. V. Ramanathan

Recursive nonparametric regression estimation for dependent strong mixing functional data pp. 665-697

Yousri Slaoui

Volume 23, issue 2, 2020

Preface pp. 249-249

Marina Kleptsyna

Parameter identification for the Hermite Ornstein–Uhlenbeck process pp. 251-270

Obayda Assaad and Ciprian A. Tudor

Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion pp. 271-300

Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup and Maylis Varvenne

Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise pp. 301-318

Alexandre Brouste, Chunhao Cai, Marius Soltane and Longmin Wang

An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter pp. 319-353

Kohei Chiba

Spot estimation for fractional Ornstein–Uhlenbeck stochastic volatility model: consistency and central limit theorem pp. 355-380

Yaroslav Eumenius-Schulz

A minimal contrast estimator for the linear fractional stable motion pp. 381-413

Mathias Mørck Ljungdahl and Mark Podolskij

Comparison of the LS-based estimators and the MLE for the fractional Ornstein–Uhlenbeck process pp. 415-434

Katsuto Tanaka

Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion pp. 435-463

Ciprian A. Tudor and Nakahiro Yoshida

Volume 23, issue 1, 2020

Estimation of weak ARMA models with regime changes pp. 1-52

Yacouba Boubacar Maïnassara and Landy Rabehasaina

Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations pp. 53-81

Yiying Cheng, Yaozhong Hu and Hongwei Long

Statistical analysis of some evolution equations driven by space-only noise pp. 83-103

Igor Cialenco, Hyun-Jung Kim and Sergey V. Lototsky

Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations pp. 105-127

Quentin Clairon and Adeline Samson

On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models pp. 129-169

A. V. Ivanov, N. N. Leonenko and I. V. Orlovskyi

Hybrid estimation for ergodic diffusion processes based on noisy discrete observations pp. 171-198

Yusuke Kaino, Shogo H. Nakakita and Masayuki Uchida

Inference in a multivariate generalized mean-reverting process with a change-point pp. 199-226

Sévérien Nkurunziza and Lei Shen

Parameter estimation for the Rosenblatt Ornstein–Uhlenbeck process with periodic mean pp. 227-247

Radomyra Shevchenko and Ciprian A. Tudor