Statistical Inference for Stochastic Processes

1998 - 2025

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

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Volume 22, issue 3, 2019

Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions pp. 323-357

Kohei Chiba

Nonparametric estimation in fractional SDE pp. 359-382

Fabienne Comte and Nicolas Marie

Data driven time scale in Gaussian quasi-likelihood inference pp. 383-430

Shoichi Eguchi and Hiroki Masuda

Second-order properties of thresholded realized power variations of FJA additive processes pp. 431-474

José E. Figueroa-López and Jeffrey Nisen

The Dantzig selector for a linear model of diffusion processes pp. 475-498

Kou Fujimori

Asymptotic behavior of nonparametric estimators of the two-dimensional and bivariate renewal functions pp. 499-523

Michel Harel, Livasoa Andriamampionona and Victor Harison

Nonparametric Gaussian inference for stable processes pp. 525-555

Fabian Mies and Ansgar Steland

Testing nonstationary and absolutely regular nonlinear time series models pp. 557-593

Joseph Ngatchou-Wandji, Madan L. Puri, Michel Harel and Echarif Elharfaoui

Volume 22, issue 2, 2019

Two-step wavelet-based estimation for Gaussian mixed fractional processes pp. 157-185

Patrice Abry, Gustavo Didier and Hui Li

Robust adaptive efficient estimation for semi-Markov nonparametric regression models pp. 187-231

Vlad Stefan Barbu, Slim Beltaief and Sergey Pergamenshchikov

Empirical $$L^2$$ L 2 -distance test statistics for ergodic diffusions pp. 233-261

A. Gregorio and Stefano Iacus

An inverse problem for infinitely divisible moving average random fields pp. 263-306

Wolfgang Karcher, Stefan Roth, Evgeny Spodarev and Corinna Walk

On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes pp. 307-322

A. R. Soltani, A. R. Nematollahi and M. R. Mahmoudi

Volume 22, issue 1, 2019

Time series analysis of covariance based on linear transfer function models pp. 1-16

M. Azimmohseni, M. Khalafi and M. Kordkatuli

Nonparametric recursive estimation of the derivative of the regression function with application to sea shores water quality pp. 17-40

Bernard Bercu, Sami Capderou and Gilles Durrieu

On conditional least squares estimation for affine diffusions based on continuous time observations pp. 41-75

Beáta Bolyog and Gyula Pap

Parametric inference for discretely observed subordinate diffusions pp. 77-110

Weiwei Guo and Lingfei Li

Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter pp. 111-142

Yaozhong Hu, David Nualart and Hongjuan Zhou

Estimation of the mean in partially observed branching processes with general immigration pp. 143-155

I. Rahimov

Volume 21, issue 3, 2018

Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models pp. 485-511

Abdelhakim Aknouche, Eid Al-Eid and Nacer Demouche

A frequency-domain test for long range dependence pp. 513-526

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

Simon Holbach

Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion pp. 539-551

Antoine Lejay

Moderate deviations for parameters estimation in a geometrically ergodic Heston process pp. 553-567

Marie Roy de Chaumaray

Parameter estimation for the Langevin equation with stationary-increment Gaussian noise pp. 569-601

Tommi Sottinen and Lauri Viitasaari

Adaptive nonparametric drift estimation for diffusion processes using Faber–Schauder expansions pp. 603-628

Frank Meulen, Moritz Schauer and Jan Waaij

Volume 21, issue 2, 2018

Foreword from the editors… pp. 261-262

Marc Hallin and Yury Kutoyants

Polygonal smoothing of the empirical distribution function pp. 263-287

D. Blanke and D. Bosq

Efficient estimation of stable Lévy process with symmetric jumps pp. 289-307

Alexandre Brouste and Hiroki Masuda

Statistical inference for SPDEs: an overview pp. 309-329

Igor Cialenco

Estimating linear functionals of a sparse family of Poisson means pp. 331-344

Olivier Collier and Arnak Dalalyan

Estimation of cusp location of stochastic processes: a survey pp. 345-362

S. Dachian, N. Kordzakhia, Yu. A. Kutoyants and A. Novikov

Translation invariant statistical experiments with independent increments pp. 363-383

Alexander Gushchin, Nino Kordzakhia and Alexander Novikov

Optimal dimension reduction for high-dimensional and functional time series pp. 385-398

Marc Hallin, Siegfried Hörmann and Marco Lippi

LAMN in a class of parametric models for null recurrent diffusions pp. 399-413

Reinhard Höpfner and Carina Zeller

A review of asymptotic theory of estimating functions pp. 415-434

Jean Jacod and Michael Sørensen

Hybrid estimators for stochastic differential equations from reduced data pp. 435-454

Yusuke Kaino and Masayuki Uchida

Analysis of variance for high-dimensional time series pp. 455-468

Hideaki Nagahata and Masanobu Taniguchi

Oracle inequalities for the stochastic differential equations pp. 469-483

E. A. Pchelintsev and S. M. Pergamenshchikov

Volume 21, issue 1, 2018

Trajectory fitting estimators for SPDEs driven by additive noise pp. 1-19

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

Marco Dozzi, Yuriy Kozachenko, Yuliya Mishura and Kostiantyn Ralchenko

A non-parametric Bayesian approach to decompounding from high frequency data pp. 53-79

Shota Gugushvili, Frank Meulen and Peter Spreij

Non-parametric estimation of the spiking rate in systems of interacting neurons pp. 81-111

P. Hodara, N. Krell and E. Löcherbach

Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients pp. 113-140

Sixian Jin, Qidi Peng and Henry Schellhorn

Nonparametric estimation for irregularly sampled Lévy processes pp. 141-167

Johanna Kappus

Statistical inference of 2-type critical Galton–Watson processes with immigration pp. 169-190

Kristóf Körmendi and Gyula Pap

Estimation and testing in generalized mean-reverting processes with change-point pp. 191-215

Sévérien Nkurunziza and Pei Patrick Zhang

Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data pp. 217-259

Serguei Pergamenchtchikov and Alexander G. Tartakovsky

Volume 20, issue 3, 2017

Foreword from the Editors pp. 273-274

Marc Hallin and Yury Kutoyants

Circular autocorrelation of stationary circular Markov processes pp. 275-290

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

Fumiya Akashi

Asymptotic normality of quadratic forms of martingale differences pp. 315-327

Liudas Giraitis, Masanobu Taniguchi and Murad S. Taqqu

Time series regression models with locally stationary disturbance pp. 329-346

Junichi Hirukawa

The asymptotics of misspecified MLEs for some stochastic processes: a survey pp. 347-367

Yury A. Kutoyants

Statistical inference for quantiles in the frequency domain pp. 369-386

Yan Liu

Moment convergence of Z-estimators pp. 387-397

Ilia Negri and Yoichi Nishiyama

Volume 20, issue 2, 2017

Periodic autoregressive stochastic volatility pp. 139-177

Abdelhakim Aknouche

Autoregressive functions estimation in nonlinear bifurcating autoregressive models pp. 179-210

S. Valère Bitseki Penda and Adélaïde Olivier

Parameter estimation of Ornstein–Uhlenbeck process generating a stochastic graph pp. 211-235

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

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

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

Herold Dehling, Brice Franke and Jeannette H. C. Woerner

Time endogeneity and an optimal weight function in pre-averaging covariance estimation pp. 15-56

Yuta Koike

On maximum likelihood estimation of the drift matrix of a degenerated O–U process pp. 57-78

Ana Prior, Marina Kleptsyna and Paula Milheiro-Oliveira

Memory properties of transformations of linear processes pp. 79-103

Hailin Sang and Yongli Sang

Two-step estimation of ergodic Lévy driven SDE pp. 105-137

Hiroki Masuda and Yuma Uehara