Related papers: Penalized nonparametric mean square estimation of …

We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…

Let X be a second order random process indexed by a compact interval [0,T]. Assume that n independent realizations of X are observed on a fixed grid of p time points. Under mild regularity assumptions on the sample paths of X, we show the…

We investigate nonparametric drift estimation for multidimensional jump diffusions based on continuous observations. The results are derived under anisotropic smoothness assumptions and the estimators' performance is measured in terms of…

Traditional nonparametric estimation methods often lead to a slow convergence rate in large dimensions and require unrealistically enormous sizes of datasets for reliable conclusions. We develop an approach based on partial derivatives,…

Recent results in quantization theory show that the mean-squared expected distortion can reach a rate of convergence of $\mathcal{O}(1/n)$, where $n$ is the sample size [see, e.g., IEEE Trans. Inform. Theory 60 (2014) 7279-7292 or Electron.…

Let $(X_i)_{i=1,...,n}$ be a possibly nonstationary sequence such that $\mathscr{L}(X_i)=P_n$ if $i\leq n\theta$ and $\mathscr{L}(X_i)=Q_n$ if $i>n\theta$, where $0<\theta <1$ is the location of the change-point to be estimated. We…

We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…

In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…

In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…

We propose solution of the problem of the mean square optimal estimation of linear functionals which depend on the unobserved values of a continuous time stochastic process with periodically correlated increments based on observations of…

We study the problem of distributed adaptive estimation over networks where nodes cooperate to estimate physical parameters that can vary over both space and time domains. We use a set of basis functions to characterize the space-varying…

Parameter estimation in diffusion processes from discrete observations up to a first-hitting time is clearly of practical relevance, but does not seem to have been studied so far. In neuroscience, many models for the membrane potential…

In this article, we present the least squares estimator for the drift parameter in a linear regression model driven by the increment of a fractional Brownian motion sampled at random times. For two different random times, Jittered and…

Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…

We study parameter estimation and asymptotic inference for sparse nonlinear regression. More specifically, we assume the data are given by $y = f( x^\top \beta^* ) + \epsilon$, where $f$ is nonlinear. To recover $\beta^*$, we propose an…

Motivated by the prevalence of environments in which data is abundant while resources for storage and/or transmission might be scarce, we study linear regression when predictors, their squares, and responses are subject to single-bit…

We study the long-time dynamics of the nonlinear processes modeled by diffusion-transport partial differential equations in non-divergence form with drifts. The solutions are subject to some inhomogeneous Dirichlet boundary condition.…

We present a new method for detecting superdiffusive behaviour and for determining rates of superdiffusion in time series data. Our method applies equally to stochastic and deterministic time series data (with no prior knowledge required of…

In this article we consider the filtering problem associated to partially observed diffusions, with observations following a marked point process. In the model, the data form a point process with observation times that have its intensity…

We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…