Jump filtering and efficient drift estimation for Lévy-driven SDE's

16 March 2016

Papers citing "Jump filtering and efficient drift estimation for Lévy-driven SDE's"

15 / 15 papers shown

Title
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes Chiara Amorino Francisco Pina M. Podolskij 95 1 0 16 Aug 2024
Adaptive nonparametric drift estimation for multivariate jump diffusions under sup-norm risk Linqi Zhou 50 0 0 29 Sep 2023
On a Projection Least Squares Estimator for Jump Diffusion Processes H. Halconruy Nicolas Marie 54 1 0 24 Oct 2022
Parametric estimation of stochastic differential equations via online gradient descent Shogo H. Nakakita 54 2 0 17 Oct 2022
Parameter estimation of discretely observed interacting particle systems Chiara Amorino A. Heidari Vytaut.e Pilipauskait.e M. Podolskij 74 22 0 25 Aug 2022
Threshold estimation for jump-diffusions under small noise asymptotics Mitsuki Kobayashi Y. Shimizu 13 0 0 20 Jul 2022
Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes Teppei Ogihara Yuma Uehara 44 0 0 01 May 2021
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes Chiara Amorino A. Gloter 76 12 0 21 Jan 2020
Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails A. Gushchin I. Pavlyukevich Marian Ritsch 44 4 0 25 Nov 2019
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function Chiara Amorino A. Gloter 14 5 0 25 Oct 2019
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process Fabian Mies 49 10 0 19 Jun 2019
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes Chiara Amorino A. Gloter 36 13 0 24 Apr 2019
Contrast function estimation for the drift parameter of ergodic jump diffusion process Chiara Amorino A. Gloter 45 24 0 24 Jul 2018
Estimating functions for jump-diffusions N. Jakobsen Michael Sørensen 49 5 0 01 Sep 2017
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes H. Mai 74 44 0 12 Mar 2014