相关论文: ANOVA for diffusions and It\^{o} processes

In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the…

The problem of endogeneity in statistics and econometrics is often handled by introducing instrumental variables (IV) which fulfill the mean independence assumption, i.e. the unobservable is mean independent of the instruments. When full…

In this paper, we apply a recently developed nonparametric modeling approach, the "diffusion forecast", to predict the time-evolution of Fourier modes of turbulent dynamical systems. While the diffusion forecasting method assumes the…

Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…

This paper proposes to model asset price dynamics with a mixture of diffusion processes where the instantaneous volatility of the underlying diffusion process contains a random vector. The marginal probability distributions of the proposed…

In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection…

We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency…

Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in…

Multivariate regression models and ANOVA are probably the most frequently applied methods of all statistical analyses. We study the case where the predictors are qualitative variables, and the response variable is quantitative. In this…

In this paper, we consider the problem of extraction of most informative features from time series that are regarded as observed values of stochastic processes satisfying the It{\^{o}} stochastic differential equations with unknown random…

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 discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic…

The nonparametric estimation of integrated diffusion processes has been extensively studied, with most existing research focusing on pointwise convergence. This paper is the first to establish uniform convergence rates for the…

We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{n\Delta},n=0,1,...,N. The sampling frequency \Delta^{-1} is constant, and asymptotics are taken as the number N of…

This paper introduces a unified factor overnight GARCH-It\^o model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility…

Atmospheric Turbulence (AT) correction is a challenging restoration task as it consists of two distortions: geometric distortion and spatially variant blur. Diffusion models have shown impressive accomplishments in photo-realistic image…

The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…

We carry out ANOVA comparisons of multiple treatments for longitudinal studies with missing values. The treatment effects are modeled semiparametrically via a partially linear regression which is flexible in quantifying the time effects of…

We present certain mathematical aspects of an information method which was formulated in an attempt to investigate diffusion phenomena. We imagine a regular dynamical hamiltonian systems under the random perturbation of thermal (molecular)…

In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…