Arnaud Gloter

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Publications

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Evolving privacy: drift parameter estimation for discretely observed i.i.d. diffusion processes under LDP

Chiara Amorino , Arnaud Gloter , Hélène Halconruy

Stochastic Processes and their Applications, 2024, 181, pp.104557. ⟨10.48550/arXiv.2401.17829⟩

Article dans une revue hal-04428663v1
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On the nonparametric inference of coefficients of self-exciting jump-diffusion

Chiara Amorino , Charlotte Dion , Arnaud Gloter , Sarah Lemler

Electronic Journal of Statistics , 2022, 16, ⟨10.1214/22-EJS2019⟩

Article dans une revue hal-03021151v3
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RATE OF ESTIMATION FOR THE STATIONARY DISTRIBUTION OF STOCHASTIC DAMPING HAMILTONIAN SYSTEMS WITH CONTINUOUS OBSERVATIONS

Sylvain Delattre , Arnaud Gloter , Nakahiro Yoshida

Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2022, 58 (4), pp.1998--2028. ⟨10.1214/21-aihp1237⟩

Article dans une revue hal-02455744v1
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Approximation of the invariant distribution for a class of ergodic jump diffusions

A. Gloter , I. Honoré , Dasha Loukianova

ESAIM: Probability and Statistics, 2020, 24, pp.883-913. ⟨10.1051/ps/2020023⟩

Article dans une revue hal-04510342v1

Joint estimation for SDE driven by locally stable Lévy processes

Emmanuelle Clément , Arnaud Gloter

Electronic Journal of Statistics , 2020, 14 (2), pp.2922-2956. ⟨10.1214/20-EJS1737⟩

Article dans une revue hal-03164188v1

Estimating functions for SDE driven by stable Lévy processes

Emmanuelle Clément , Arnaud Gloter

Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2019, 55 (3), pp.1316-1348. ⟨10.1214/18-AIHP920⟩

Article dans une revue hal-03164191v1
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LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen

ESAIM: Probability and Statistics, 2019, 23, pp.136-175. ⟨10.1051/ps/2018007⟩

Article dans une revue hal-02925328v1
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen

ESAIM: Probability and Statistics, 2018, 22, pp.58-95. ⟨10.1051/ps/2018009⟩

Article dans une revue hal-01772290v1

Jump filtering and efficient drift estimation for Lévy-driven SDEs

Arnaud Gloter , Dasha Loukianova

Annals of Statistics, 2018, 46 (4), ⟨10.1214/17-AOS1591⟩

Article dans une revue hal-04510344v1

An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

Emmanuelle Clément , Arnaud Gloter

The Annals of Applied Probability, 2017, 27 (4), pp.2419-2454. ⟨10.1214/16-AAP1263⟩

Article dans une revue hal-01585830v1
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Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Léevy processes

Emmanuelle Clément , Arnaud Gloter

Stochastic Processes and their Applications, 2015, 123 (6), pp.2316-2352. ⟨10.1016/j.spa.2015.01.002⟩

Article dans une revue hal-01141511v1
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Asymptotic lower bounds in estimating jumps

Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter

Bernoulli, 2014, 20 (3), pp.1059-1096. ⟨10.3150/13-BEJ515⟩

Article dans une revue hal-00795403v1

Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment

M. Falconnet , A. Gloter , Dasha Loukianova

Mathematical Methods of Statistics, 2014, 23 (3), pp.159-175. ⟨10.3103/S1066530714030016⟩

Article dans une revue hal-04510354v1
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Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time

Arnaud Gloter , Miguel Martinez

The Annals of Probability, 2013, 41 (3A), ⟨10.1214/12-AOP776⟩

Article dans une revue hal-00559228v1
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An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility

Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter

Stochastic Processes and their Applications, 2013, 123 (7), pp.2500-2521

Article dans une revue hal-00719460v1
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Weak limit theorem in the Fourier tranform method for the estimation of multivariate volatility

Emmanuelle Clement , Arnaud Gloter

Stochastic Processes and their Applications, 2011, 121, pp.1097-1124

Article dans une revue hal-00454494v1

Multifractal analysis in a mixed asymptotic framework

Emmanuel Bacry , Arnaud Gloter , Marc Hoffmann , J.-F. Muzy

The Annals of Applied Probability, 2010, pp.1729-1760. ⟨10.1214/09-AAP670⟩

Article dans une revue hal-00604467v1

Nonparametric reconstruction of a multifractal function from noisy data

Arnaud Gloter , Marc Hoffmann

Probability Theory and Related Fields, 2010, 146 (1-2), pp.155--187. ⟨10.1007/s00440-008-0187-1⟩

Article dans une revue hal-00693036v1

Estimation for stochastic differential equations with a small diffusion coefficient

Arnaud Gloter , Michael S. Sorensen

Stochastic Processes and their Applications, 2009, 119 (3), pp.679--699. ⟨10.1016/j.spa.2008.04.004⟩

Article dans une revue istex hal-00693054v1
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LAMN property for hidden processes: the case of integrated diffusions

Arnaud Gloter , Emmanuel Gobet

Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩

Article dans une revue hal-00159317v1

Estimation of the Hurst parameter from discrete noisy data

Arnaud Gloter , Marc Hoffmann

Annals of Statistics, 2007, 35 (5), pp.1947--1974. ⟨10.1214/009053607000000316⟩

Article dans une revue hal-00693086v1

Efficient estimation of drift parameters in stochastic volatility models

Arnaud Gloter

Finance and Stochastics, 2007, 11 (4), pp.495--519. ⟨10.1007/s00780-007-0048-2⟩

Article dans une revue istex hal-00693087v1

Parameter Estimation for a Discretely Observed Integrated Diffusion Process

Arnaud Gloter

Scandinavian Journal of Statistics, 2006, 33 (1), pp.83-104

Article dans une revue hal-00404901v1

Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process

Arnaud Gloter

Statistics, 2001, 35 (3), pp.225--243. ⟨10.1080/02331880108802733⟩

Article dans une revue hal-00693749v1

Estimation of the volatility diffusion coefficient for a stochastic volatility model

Arnaud Gloter

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2000, 330 (3), pp.243--248. ⟨10.1016/S0764-4442(00)00119-1⟩

Article dans une revue istex hal-00693795v1
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Drift estimation for rough processes under small noise asymptotic : QMLE approach

Arnaud Gloter , Nakahiro Yoshida

2025

Pré-publication, Document de travail hal-05302549v1
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Nonparametric estimation of the stationary density for Hawkes-diffusion systems with known and unknown intensity

Chiara Amorino , Charlotte Dion-Blanc , Arnaud Gloter , Sarah Lemler

2025

Pré-publication, Document de travail hal-05290064v1
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Drift estimation for rough processes under small noise asymptotic : trajectory fitting method

Arnaud Gloter , Nakahiro Yoshida

2025

Pré-publication, Document de travail hal-04975064v1
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Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes

Chiara Amorino , Arnaud Gloter

2020

Pré-publication, Document de travail hal-02104235v2
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Joint estimation for SDE driven by locally stable Lévy processes

Emmanuelle Clément , Arnaud Gloter

2020

Pré-publication, Document de travail hal-02125428v2
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Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes

Chiara Amorino , Arnaud Gloter

2020

Pré-publication, Document de travail hal-02442374v1
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Adaptive and non-adaptive estimation for degenerate diffusion processes

Arnaud Gloter , Nakahiro Yoshida

2020

Pré-publication, Document de travail hal-02488402v1
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Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function

Chiara Amorino , Arnaud Gloter

2020

Pré-publication, Document de travail hal-02331156v2
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Contrast function estimation for the drift parameter of ergodic jump diffusion process

Chiara Amorino , Arnaud Gloter

2019

Pré-publication, Document de travail hal-01842514v2
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NON-ASYMPTOTIC CONCENTRATION INEQUALITY FOR AN APPROXIMATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION DRIVEN BY COMPOUND POISSON PROCESS

Arnaud Gloter , Igor Honoré , Dasha Loukianova

2018

Pré-publication, Document de travail hal-01885479v1
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Estimating functions for SDE driven by stable Lévy processes

Emmanuelle Clément , Arnaud Gloter

2018

Pré-publication, Document de travail hal-01570175v2
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LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy Process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen

2017

Pré-publication, Document de travail hal-01472749v2
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable LEVY process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen

2017

Pré-publication, Document de travail hal-01410989v2
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An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

Emmanuelle Clément , Arnaud Gloter

2016

Pré-publication, Document de travail hal-01167276v2
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Jump filtering and efficient drift estimation for lévy-driven sde's

Arnaud Gloter , Dasha Loukianova , Hilmar Mai

2016

Pré-publication, Document de travail hal-01287823v3
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Bouncing skew Brownian motions

Arnaud Gloter , Miguel Martinez

2015

Pré-publication, Document de travail hal-01223255v1
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Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment

Mikael Falconnet , Dasha Loukianova , Arnaud Gloter

2014

Pré-publication, Document de travail hal-00990005v1
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Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes

Emmanuelle Clément , Arnaud Gloter

2013

Pré-publication, Document de travail hal-00914138v1
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Optimality properties in estimating jumps

Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter

2011

Pré-publication, Document de travail hal-00609983v1