Related papers: On frequency estimation for partially observed pro…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
The statistical problem of parameter estimation in partially observed hypoelliptic diffusion processes is naturally occurring in many applications. However, due to the noise structure, where the noise components of the different coordinates…
We study analytically and numerically the problem of a nonlinear mechanical oscillator with additive noise in the absence of damping. We show that the amplitude, the velocity and the energy of the oscillator grow algebraically with time.…
The estimation of non-Gaussian measurement noise models is a significant challenge across various fields. In practical applications, it often faces challenges due to the large number of parameters and high computational complexity. This…
We study stochastic perturbations of ODE with stable limit cycles -- referred to as stochastic oscillators -- and investigate the response of the asymptotic (in time) frequency of oscillations to changing noise amplitude. Unlike previous…
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent…
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate scaling, it is shown that ordinary least squares procedures…
We study the problem of detection of a high-dimensional signal function in the white Gaussian noise model. As well as a smoothness assumption on the signal function, we assume an additive sparse condition on the latter. The detection…
The purpose of the present work is to construct estimators for the random effects in a fractional diffusion model using a hybrid estimation method where we combine parametric and nonparametric thechniques. We precisely consider $n$…
We study the effect of Gaussian perturbations on a class of model hyperbolic partial differential equations with double symplectic characteristics in low spatial dimensions, extending some recent work in [5]. The coefficients of our partial…
We study the stability of a stochastic oscillator whose frequency is a random process with finite time memory represented by an Ornstein-Uhlenbeck noise. This system undergoes a noise-induced bifurcation when the amplitude of the noise…
A parameter estimation problem is considered for a linear stochastic hyperbolic equation driven by additive space-time Gaussian white noise. The damping/amplification operator is allowed to be unbounded. The estimator is of spectral type…
Functional data present as functions or curves possessing a spatial or temporal component. These components by nature have a fixed observational domain. Consequently, any asymptotic investigation requires modelling the increased correlation…
We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.
In this paper, we consider the statistical inference of the drift parameter $\theta$ of non-ergodic Ornstein-Uhlenbeck~(O-U) process driven by a general Gaussian process $(G_t)_{t\ge 0}$. When $H \in (0, \frac 12) \cup (\frac 12,1) $ the…
We address the use of a single qubit as a quantum probe to characterize the properties of classical noise. In particular, we focus on the characterization of classical noise arising from the interaction with a stochastic field described by…
Observations or measurements taken of a quantum system (a small number of fundamental particles) are inherently random. If the state of the system depends on unknown parameters, then the distribution of the outcome depends on these…
It is well-known that density estimation on the unit interval is asymptotically equivalent to a Gaussian white noise experiment, provided the densities are sufficiently smooth and uniformly bounded away from zero. We show that a uniform…
We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck process defined as $dX_t=\theta X_tdt+dB_t,\ t\geq0$, with a parameter $\theta>0$, where $B$ is a fractional Brownian motion of Hurst index…
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…