Arnaud Gloter

Publications

Article dans une revue (25)

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
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
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
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
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
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
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
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
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
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
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
LAMN property for hidden processes: the case of integrated diffusions Arnaud Gloter,Emmanuel Gobet Annales de l'I.H.P. 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

Pré-publication, Document de travail (19)

Drift estimation for rough processes under small noise asymptotic : QMLE approach Arnaud Gloter,Nakahiro Yoshida 2025 Pré-publication, Document de travail hal-05302549v1
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
Drift estimation for rough processes under small noise asymptotic : trajectory fitting method Arnaud Gloter,Nakahiro Yoshida 2025 Pré-publication, Document de travail hal-04975064v1
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes Chiara Amorino,Arnaud Gloter 2020 Pré-publication, Document de travail hal-02104235v2
Joint estimation for SDE driven by locally stable Lévy processes Emmanuelle Clément,Arnaud Gloter 2020 Pré-publication, Document de travail hal-02125428v2
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes Chiara Amorino,Arnaud Gloter 2020 Pré-publication, Document de travail hal-02442374v1
Adaptive and non-adaptive estimation for degenerate diffusion processes Arnaud Gloter,Nakahiro Yoshida 2020 Pré-publication, Document de travail hal-02488402v1
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
Contrast function estimation for the drift parameter of ergodic jump diffusion process Chiara Amorino,Arnaud Gloter 2019 Pré-publication, Document de travail hal-01842514v2
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
Estimating functions for SDE driven by stable Lévy processes Emmanuelle Clément,Arnaud Gloter 2018 Pré-publication, Document de travail hal-01570175v2
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
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
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
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
Bouncing skew Brownian motions Arnaud Gloter,Miguel Martinez 2015 Pré-publication, Document de travail hal-01223255v1
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
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
Optimality properties in estimating jumps Emmanuelle Clement,Sylvain Delattre,Arnaud Gloter 2011 Pré-publication, Document de travail hal-00609983v1