Statistical Inference for Stochastic Processes

1998 - 2025

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

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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

Maroua Ben Abdeddaiem

Classification error in multiclass discrimination from Markov data pp. 321-336

Sören Christensen, Albrecht Irle and Lars Willert

Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions pp. 337-361

Stella Kitromilidou and Konstantinos Fokianos

Asymptotics for random functions moderated by dependent noise pp. 363-387

Ansgar Steland

Volume 19, issue 2, 2016

A kriging procedure for processes indexed by graphs pp. 159-173

T. Espinasse and J.-M. Loubes

The Gumbel test and jumps in the volatility process pp. 235-258

Christian Palmes and Jeannette H. C. Woerner

Volume 18, issue 3, 2015

Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind pp. 205-227

Ehsan Azmoodeh and Lauri Viitasaari

Adaptive pointwise estimation for pure jump Lévy processes pp. 229-256

Mélina Bec and Claire Lacour

Cox process functional learning pp. 257-277

Gérard Biau, Benoît Cadre and Quentin Paris

Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations pp. 279-291

Yaozhong Hu, Chihoon Lee, Myung Lee and Jian Song

Stability of the filter with Poisson observations pp. 293-313

Zhiqiang Li and Jie Xiong

Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process pp. 315-332

Katsuto Tanaka

Volume 18, issue 2, 2015

Quadratic random coefficient autoregression with linear-in-parameters volatility pp. 99-125

Abdelhakim Aknouche

On a Poissonian change-point model with variable jump size pp. 127-150

Sergueï Dachian and Lin Yang

Asymptotic behavior of mixed power variations and statistical estimation in mixed models pp. 151-175

Marco Dozzi, Yuliya Mishura and Georgiy Shevchenko

Hybrid multi-step estimators for stochastic differential equations based on sampled data pp. 177-204

Kengo Kamatani and Masayuki Uchida

Volume 18, issue 1, 2015

Difference based estimators and infill statistics pp. 1-31

José León and Carenne Ludeña

Limit theorems for bifurcating integer-valued autoregressive processes pp. 33-67

Bernard Bercu and Vassili Blandin

Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes pp. 69-98

Dominique Dehay

Volume 17, issue 3, 2014

On stationarity and second-order properties of bilinear random fields pp. 221-244

Abdelouahab Bibi and Karima Kimouche

Histograms for stationary linear random fields pp. 245-266

Michel Carbon

AIC type statistics for discretely observed ergodic diffusion processes pp. 267-282

Takayuki Fujii and Masayuki Uchida

Misparametrization subsets for penalized least squares model selection pp. 283-294

Xavier Guyon and Cécile Hardouin

On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes pp. 295-319

M. Kleptsyna and Yu. Kutoyants

Volume 17, issue 2, 2014

Central limit theorems for empirical product densities of stationary point processes pp. 121-138

Lothar Heinrich and Stella Klein

On asymptotic distribution of parameter free tests for ergodic diffusion processes pp. 139-161

Yury Kutoyants

Truncated stochastic approximation with moving bounds: convergence pp. 163-179

Teo Sharia

Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations pp. 181-219

Masayuki Uchida and Nakahiro Yoshida

Volume 17, issue 1, 2014

Change point testing for the drift parameters of a periodic mean reversion process pp. 1-18

Herold Dehling, Brice Franke, Thomas Kott and Reg Kulperger

Second-order continuous-time non-stationary Gaussian autoregression pp. 19-49

N. Lin and S. Lototsky

On goodness-of-fit testing for ergodic diffusion process with shift parameter pp. 51-73

Ilia Negri and Li Zhou

Parameter estimation for the stochastic SIS epidemic model pp. 75-98

Jiafeng Pan, Alison Gray, David Greenhalgh and Xuerong Mao

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise pp. 99-120

Andreas Neuenkirch and Samy Tindel

Volume 16, issue 3, 2013

Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process pp. 173-192

Katsuto Tanaka

On the asymptotic normality of frequency polygons for strongly mixing spatial processes pp. 193-206

Mohamed El Machkouri

A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models pp. 207-236

Joseph Ngatchou-Wandji and Michel Harel

Maximum likelihood estimation for small noise multiscale diffusions pp. 237-266

Konstantinos Spiliopoulos and Alexandra Chronopoulou

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

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