Related papers: Nonparametric estimation of linear multiplier for …

We study the problem of nonparametric estimation of the linear multiplier function $\theta(t)$ for processes satisfying stochastic differential equations of the type $$dX_t=\theta(t)X_tdt+\epsilon dW_t^{H,K}, X_0=x_0,0\leq t \leq T$$ where…

We study the problem of nonparametric estimation of the linear multiplier function $\theta(t)$ for processes satisfying stochastic differential equations of the type $$dX_t= \theta(t)X_t dt+ \epsilon\; \sigma_1(t,X_t)\sigma_2(t,Y_t)dW_t,…

We study the problem of nonparametric estimation of linear multiplier function $\theta t)$ for processes satisfying stochastic differential equations of the type $dX_t=\theta(t)X_tdt+\epsilond\bar W_t^H, X_0=x_0, 0\leq t \leq T$ where…

We investigate the asymptotic properties of a kernel-type nonparametric estimator of the linear multiplier in models governed by a stochastic differential equation driven by a general Gaussian process.

In the paper, we address parametric and non-parametric estimation for nonlinear stochastic differential equations with additive Hermite noise with possibly nonlinear scaling. We assume that a single trajectory of the solution is observed…

We consider a problem of estimation for the telegrapher's process on the line, say X(t), driven by a Poisson process with non constant rate. It turns out that the finite-dimensional law of the process X(t) is a solution to the telegraph…

We derive an asymptotic theory of nonparametric estimation for a time series regression model $Z_t=f(X_t)+W_t$, where \ensuremath\{X_t\} and \ensuremath\{Z_t\} are observed nonstationary processes and $\{W_t\}$ is an unobserved stationary…

We discuss nonparametric estimation of linear multiplier in a trend coefficient in models governed by an $\alpha$-stable small noise.

We study the non-parametric estimation of the value ${\theta}(f )$ of a linear functional evaluated at an unknown density function f with support on $R_+$ based on an i.i.d. sample with multiplicative measurement errors. The proposed…

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…

Let $Z$ denote a Hermite process of order $q \geq 1$ and self-similarity parameter $H \in (\frac{1}{2}, 1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the…

Let $(Z_t^{(q, H)})_{t \geq 0}$ denote a Hermite process of order $q \geq 1$ and self-similarity parameter $H \in (\frac{1}{2}, 1)$. Consider the Hermite-driven moving average process $$X_t^{(q, H)} = \int_0^t x(t-u) dZ^{(q, H)}(u), \qquad…

We analyze the Hermite polynomials $H_{n}(x)$ and their zeros asymptotically, as $n\to\infty.$ We obtain asymptotic approximations from the differential-difference equation which they satisfy, using the ray method. We give numerical…

The telegraph process $X(t)$, $t>0$, (Goldstein, 1951) and the geometric telegraph process $S(t) = s_0 \exp\{(\mu -\frac12\sigma^2)t + \sigma X(t)\}$ with $\mu$ a known constant and $\sigma>0$ a parameter are supposed to be observed at…

We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to…

This paper deals with the process $X = (X_t)_{t\in [0,T]}$ defined by the stochastic differential equation (SDE) $dX_t = (a(X_t) + b(Y_t))dt +\sigma(X_t)dW_1(t)$, where $W_1$ is a Brownian motion and $Y$ is an exogenous process. The first…

This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to…

Let $(G(X_j))_{j\geq1}$ be a multivariate subordinated Gaussian process, which exhibits long-range dependence. We study the asymptotic behaviour of the corresponding sequential empirical process under two different types of subordination.…

We consider the problem of parameter estimation for the partially observed linear stochastic differential equation. We assume that the unobserved Ornstein-Uhlenbeck process depends on some unknown parameter and estimate the unobserved…

The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is…