Related papers: Prediction-based inference for integrated diffusio…

This paper investigates asymptotic behavior of a stochastic SIR epidemic model, which is a system with degenerate diffusion. It gives sufficient conditions that are very close to the necessary conditions for the permanence. In addition,…

The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…

We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…

This paper addresses the nonparametric estimation of the drift function over a compact domain for a time-homogeneous diffusion process, based on high-frequency discrete observations from $N$ independent trajectories. We propose a neural…

We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known…

It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes. We are interested in the…

We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…

Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…

We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous and endogenous. In the process, we show that…

Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. We first make a quick but extensive review…

Statistical models incorporating change points are common in practice, especially in the area of biomedicine. This approach is appealing in that a specific parameter is introduced to account for the abrupt change in the response variable…

We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for…

We consider data-adaptive wavelet estimation of a trend function in a time series model with strongly dependent Gaussian residuals. Asymptotic expressions for the optimal mean integrated squared error and corresponding optimal smoothing and…

This paper deals with the problem of outliers in high frequency observation data from diffusion processes. Robust estimation methods are needed because the inclusion of outliers can lead to incorrect statistical inference even in the…

We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…

We introduce a nonlinear operator to model diffusion on a complex undirected network under crowded conditions. We show that the asymptotic distribution of diffusing agents is a nonlinear function of the nodes' degree and saturates to a…

Many trials are designed to collect outcomes at or around pre-specified times after randomization. If there is variability in the times when participants are actually assessed, this can pose a challenge to learning the effect of treatment,…

We construct estimators for the parameters of a parabolic SPDE with one spatial dimension based on discrete observations of a solution in time and space on a bounded domain. We establish central limit theorems for a high-frequency…

We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…

We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…