On the nonparametric inference of coefficients of self-exciting jump-diffusion
From MaRDI portal
Publication:2154949
DOI10.1214/22-EJS2019zbMath1493.62152arXiv2011.12387OpenAlexW3106736816MaRDI QIDQ2154949
Arnaud Gloter, Sarah Lemler, Charlotte Dion-Blanc, Chiara Amorino
Publication date: 15 July 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.12387
Related Items
Cites Work
- Unnamed Item
- Hawkes processes on large networks
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- Nonparametric estimation for Lévy processes from low-frequency observations
- Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
- Discretization of processes.
- Threshold estimation of Markov models with jumps and interest rate modeling
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- Mixing: Properties and examples
- Inequalities for absolutely regular sequences: application to density estimation
- Adaptive estimation in diffusion processes.
- Estimator selection: a new method with applications to kernel density estimation
- Non-parametric estimation of the diffusion coefficient from noisy data
- Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
- LAN property for ergodic diffusions with discrete observations
- Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes
- Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- On a Nadaraya-Watson estimator with two bandwidths
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
- Statistical inference for ergodic point processes and application to limit order book
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Stability of nonlinear Hawkes processes
- Mean-field inference of Hawkes point processes
- Multivariate Hawkes processes: an application to financial data
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Contrast function estimation for the drift parameter of ergodic jump diffusion process
- An Introduction to the Theory of Point Processes
- Stochastic volatility models as hidden Markov models and statistical applications
