Statistical Inference for Stochastic Processes

1998 - 2025

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

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Volume 6, issue 3, 2003

Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise pp. 215-235

V. Konev and Sergey Pergamenshchikov

L p -Loss and Limit Distribution for Predicting Integrals of Some Non-Gaussian Second Order Processes pp. 237-246

Jacques Istas

Prediction of Continuous Time Autoregressive Processes via the Reproducing Kernel Spaces pp. 247-266

Fatiha Mokhtari and Tahar Mourid

Modelization and Nonparametric Estimation for Dynamical Systems with Noise pp. 267-290

D. Blanke, D. Bosq and D. Guégan

Nonparametric Estimation of Regression Functions in Point Process Models pp. 291-307

Sebastian Döhler and Ludger Rüschendorf

Volume 6, issue 2, 2003

Seasonal Space–Time Models for Climate Systems pp. 111-133

Xu-Feng Niu, Ian McKeague and James Elsner

Deconvolving Multivariate Density from Random Field pp. 135-153

Ming Yuan

Partial and Recombined Estimators for Nonlinear Additive Models pp. 155-197

Nathalie Chèze, Jean-Michel Poggi and Bruno Portier

On Uniform Laws of Large Numbers for Ergodic Diffusions and Consistency of Estimators pp. 199-213

Harry Van Zanten

Volume 6, issue 1, 2003

Estimation of Cusp Location by Poisson Observations pp. 1-14

S. Dachian

A Nonparametric Estimation Problem From Indirect Observations pp. 15-24

Samir Lababidi

On a Problem of Statistical Inference in Null Recurrent Diffusions pp. 25-42

R. Höpfner and Yu. Kutoyants

Prediction Problems for Square-Transformed Stationary Processes pp. 43-64

In-Bong Choi and Masanobu Taniguchi

Parameter Estimation for Stochastic Parabolic Equations: Asymptotic Properties of a Two-Dimensional Projection-Based Estimator pp. 65-87

S. Lototsky

Asymptotically Efficient Estimation of the Derivative of the Invariant Density pp. 89-107

Arnak Dalalyan and Yury Kutoyants

Volume 5, issue 3, 2002

Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process pp. 229-248

M.L. Kleptsyna and A. Le Breton

Extension of the Kalman–Bucy Filter to Elementary Linear Systems with Fractional Brownian Noises pp. 249-271

M.L. Kleptsyna and A. Le Breton

The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model pp. 273-286

J. McCrorie

Estimation of Mean and Covariance Operator of Autoregressive Processes in Banach Spaces pp. 287-306

Denis Bosq

Impact of Bursty Traffic on Queues pp. 307-320

Philippe Nain

General Autoregressive Models with Long-Memory Noise pp. 321-333

Mohamed Boutahar

Volume 5, issue 2, 2002

Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations pp. 131-152

Markus Reiss

Likelihood Ratio Processes for Markovian Particle Systems with Killing and Jumps pp. 153-177

E. Löcherbach

Relative Asymptotic Efficiency of the Maximum Pseudolikelihood Estimate for Gauss–Markov Random Fields pp. 179-197

Martin Janžura and Pavel Boček

Rates in the Empirical Central Limit Theorem for Stationary Weakly Dependent Random Fields pp. 199-228

Paul Doukhan and Gabriel Lang

Volume 5, issue 1, 2002

Estimating Joint Distributions of Markov Chains pp. 1-22

Anton Schick and Wolfgang Wefelmeyer

A Stochastic Filtering Approach To Survival Analysis pp. 23-53

Jin Feng

Nonparametric Density Estimation in Hidden Markov Models pp. 55-64

C.C.Y. Dorea and L.C. Zhao

Estimation of Local Smoothness Coefficients for Continuous Time Processes pp. 65-93

D. Blanke

Small Noise Asymptotics of the Bayesian Estimator in Nonidentifiable Models pp. 95-130

Marc Joannides and François Le Gland

Volume 4, issue 3, 2001

Minimax Bounds in Nonparametric Estimation of Multidimensional Deterministic Dynamical Systems pp. 229-248

Alain Berlinet and Gérard Biau

Asymptotic Behaviour of Trajectory Fitting Estimators for Certain Non-ergodic SDE pp. 249-258

Hans Dietz

On a Partially Observed Illness-Death Model pp. 259-271

Lakhdar Aggoun and Lakdere Benkherouf

On Determination of the Order of a Markov Chain pp. 273-282

L. Zhao, C. Dorea and C. Gonçalves

Semi-parametric Estimation of the Hölder Exponent of a Stationary Gaussian Process with Minimax Rates pp. 283-306

Gabriel Lang and François Roueff

Iterative Approximation of Statistical Distributions and Relation to Information Geometry pp. 307-318

C. Dodson and H. Wang

Volume 4, issue 2, 2001

Pseudo-likelihood Inference for Gibbs Processes with Exponential Families through Generalized Linear Models pp. 125-154

Jorge Mateu and Francisco Montes

Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach pp. 155-179

J. Terpstra and M. Rao

Estimating the Distribution Function of a Stationary Process Involving Measurement Errors pp. 181-198

D.A. Ioannides and D.P. Papanastassiou

Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths pp. 199-227

Jean-François Coeurjolly

Volume 4, issue 1, 2001

Remarks on Estimation Problem for Stationary Processes in Continuous Time pp. 1-15

Youri Davydov

On the Kaplan–Meier Estimator of Long-Range Dependent Sequences pp. 17-40

Nikolai Leonenko and Ludmila Sakhno

Nonparametric Inference for a Class of Stochastic Partial Differential Equations II pp. 41-52

B. Rao

Modeling and Smoothing Unequally Spaced Sequence Data pp. 53-71

Piet Jong and Sonia Mazzi

Information Criteria in Model Selection for Mixing Processes pp. 73-98

Masayuki Uchida and Nakahiro Yoshida

The Asymptotic Variance of the Continuous-Time Kernel Estimator with Applications to Bandwidth Selection pp. 99-117

M. Sköld

Volume 3, issue 3, 2000

Infill Asymptotics Inside Increasing Domains for the Least Squares Estimator in Linear Models pp. 199-223

István Fazekas and Alexander Kukush

On Estimating a Dynamic Function of a Stochastic System with Averaging pp. 225-249

R. Liptser and V. Spokoiny

On the Uniform Convergence of the Empirical Density of an Ergodic Diffusion pp. 251-262

J. van Zanten

Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient pp. 263-276

Peter Hall, Wolfgang Härdle, Torsten Kleinow and Peter Schmidt

Semiparametric Estimation of the State of a Dynamical System with Small Noise pp. 277-288

Stefano Iacus

Volume 3, issue 1, 2000

The Generalized Multifractional Brownian Motion pp. 7-18

Antoine Ayache and Jacques Vehel

Linear Processes, Long-Range Dependence and Asymptotic Expansions pp. 19-29

Tailen Hsing

Marcinkiewicz–Zygmund Strong Laws for Infinite Variance Time Series pp. 31-40

Sana Louhichi and Philippe Soulier

Convergence de mesures spectrales aléatoires et applications à des principes d'invariance pp. 41-51

Gabriel Lang and Philippe Soulier

Long Memory with Seasonal Effects pp. 53-68

G. Oppenheim, M. Haye and M.-C. Viano

Robustness of the R / S Statistic for Fractional Stable Noises pp. 69-83

Florin Avram and Murad Taqqu

Wavelet Estimator of Long-Range Dependent Processes pp. 85-99

J. Bardet, G. Lang, E. Moulines and P. Soulier

Identification of the Hurst Index of a Step Fractional Brownian Motion pp. 101-111

Albert Benassi, Pierre Bertrand, Serge Cohen and Jacques Istas

Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity pp. 113-128

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus and Gilles Teyssière

Asymptotic Normality of the Whittle Estimator in Linear Regression Models with Long Memory Errors pp. 129-147

Hira Koul and Donatas Surgailis

The Averaged Periodogram for Nonstationary Vector Time Series pp. 149-160

P.M. Robinson and D. Marinucci

Approximation of Some Gaussian Processes pp. 161-171

Philippe Carmona, Laure Coutin and G. Montseny

Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems pp. 173-182

M.L. Kleptsyna, A. Le Breton and M.-C. Roubaud

Estimating the Diffusion Coefficient for Diffusions Driven by fBm pp. 183-192

José León and Carenne Ludeña