Statistical Inference for Stochastic Processes

1998 - 2025

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

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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

Adrian Lee and Sheldon Jacobson

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

Nadia Bensaïd and Sophie Dabo-Niang

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

Boris Labrador

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 Anel

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

Volume 11, issue 3, 2008

Parameter estimation for stochastic equations with additive fractional Brownian sheet pp. 221-236

Tommi Sottinen and Ciprian Tudor

On estimation of parameters for spatial autoregressive model pp. 237-247

Youri Davydov and Vygantas Paulauskas

Parametric estimation for the standard and geometric telegraph process observed at discrete times pp. 249-263

Alessandro Gregorio and Stefano Iacus

A functional limit theorem for η-weakly dependent processes and its applications pp. 265-280

Jean-Marc Bardet, Paul Doukhan and José León

Root-n consistency in weighted L 1 -spaces for density estimators of invertible linear processes pp. 281-310

Anton Schick and Wolfgang Wefelmeyer

L 1 -convergence of smoothing densities in non-parametric state space models pp. 311-325

Valérie Monbet, Pierre Ailliot and Pierre-François Marteau

Volume 11, issue 2, 2008

Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation pp. 107-121

D. Loukianova and O. Loukianov

Information geometry of small diffusions pp. 123-141

Tomonari Sei and Fumiyasu Komaki

On large deviations in testing Ornstein–Uhlenbeck-type models pp. 143-155

Pavel Gapeev and Uwe Küchler

Recursive parameter estimation: convergence pp. 157-175

Teo Sharia

Non parametric estimation of smooth stationary covariance functions by interpolation methods pp. 177-205

S. Elogne, O. Perrin and Christine Thomas-Agnan

A note on wavelet density deconvolution for weakly dependent data pp. 207-219

Harry Zanten and Pawel Zareba

Volume 11, issue 1, 2008

Strong consistency of Kernel density estimates for Markov chains failure rates pp. 1-10

G. Atuncar, C. Dorea and C. Gonçalves

Penalized maximum likelihood estimation for a function of the intensity of a Poisson point process pp. 11-34

Ronaldo Dias, Clécio Ferreira and Nancy Garcia

Sequential change-point detection for mixing random sequences under composite hypotheses pp. 35-54

Boris Brodsky and Boris Darkhovsky

Survival analysis in Johnson–Mehl Tessellation pp. 55-76

Giacomo Aletti and Diane Saada

Strong convergence rates for the estimation of a covariance operator for associated samples pp. 77-91

Carla Henriques and Paulo Oliveira

Consistent estimation of covariation under nonsynchronicity pp. 93-106

Takaki Hayashi and Shigeo Kusuoka