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On the nonparametric inference of coefficients of self-exciting jump-diffusion
Chiara Amorino
,
Charlotte Dion
,
Arnaud Gloter
,
Sarah Lemler
Journal articles
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⟩
Journal articles
hal-02455744v1
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Joint estimation for SDE driven by locally stable Lévy processes
Emmanuelle Clément
,
Arnaud Gloter
Journal articles
hal-03164188v1
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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
Journal articles
hal-02925328v1
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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⟩
Journal articles
hal-03164191v1
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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
Journal articles
hal-01772290v1
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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
Journal articles
hal-01585830v1
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Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable L\'evy processes
Emmanuelle Clément
,
Arnaud Gloter
Journal articles
hal-01141511v1
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Asymptotic lower bounds in estimating jumps
Emmanuelle Clement
,
Sylvain Delattre
,
Arnaud Gloter
Journal articles
hal-00795403v1
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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
Journal articles
hal-00719460v1
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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
Journal articles
hal-00559228v1
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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
Journal articles
hal-00454494v1
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Nonparametric reconstruction of a multifractal function from noisy data
Arnaud Gloter
,
Marc Hoffmann
Journal articles
hal-00693036v1
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Multifractal analysis in a mixed asymptotic framework
Emmanuel Bacry
,
Arnaud Gloter
,
Marc Hoffmann
,
J.-F. Muzy
Journal articles
hal-00604467v1
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Estimation for stochastic differential equations with a small diffusion coefficient
Arnaud Gloter
,
Michael S. Sorensen
Journal articles
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⟩
Journal articles
hal-00159317v1
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Efficient estimation of drift parameters in stochastic volatility models
Arnaud Gloter
Journal articles
hal-00693087v1
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Estimation of the Hurst parameter from discrete noisy data
Arnaud Gloter
,
Marc Hoffmann
Journal articles
hal-00693086v1
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Parameter Estimation for a Discretely Observed Integrated Diffusion Process
Arnaud Gloter
Scandinavian Journal of Statistics, 2006, 33 (1), pp.83-104
Journal articles
hal-00404901v1
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Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process
Arnaud Gloter
Journal articles
hal-00693749v1
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Estimation of the volatility diffusion coefficient for a stochastic volatility model
Arnaud Gloter
Journal articles
hal-00693795v1
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