Nonparametric drift estimation for diffusions with jumps driven by a
Hawkes process

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Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process

17 April 2019

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Papers citing "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process"

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Title
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity Chiara Amorino A. Gloter 73 3 0 02 Mar 2022
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes Chiara Amorino A. Gloter 63 7 0 06 Oct 2021
Neuronal Network Inference and Membrane Potential Model using Multivariate Hawkes Processes Anna Bonnet Charlotte Dion-Blanc François Gindraud Sarah Lemler 64 9 0 02 Aug 2021
Interval-censored Hawkes processes Marian-Andrei Rizoiu Alexander Soen Shidi Li Pio Calderon Leanne Dong A. Menon Lexing Xie 50 10 0 16 Apr 2021
Optimal convergence rates for the invariant density estimation of jump-diffusion processes Chiara Amorino Eulalia Nualart 59 8 0 21 Jan 2021
On the nonparametric inference of coefficients of self-exciting jump-diffusion Chiara Amorino Charlotte Dion A. Gloter Sarah Lemler 64 5 0 24 Nov 2020
Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes Chiara Amorino 35 8 0 24 Nov 2020