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02/27/2023
Asymptotic theory for quadratic variation of harmonizable fractional stable processes
In this paper we study the asymptotic theory for quadratic variation of ...
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09/13/2022
On Lasso estimator for the drift function in diffusion models
In this paper we study the properties of the Lasso estimator of the drif...
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08/25/2022
Parameter estimation of discretely observed interacting particle systems
In this paper, we consider the problem of joint parameter estimation for...
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08/15/2022
Estimation of mixed fractional stable processes using high-frequency data
The linear fractional stable motion generalizes two prominent classes of...
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07/01/2021
Semiparametric estimation of McKean-Vlasov SDEs
In this paper we study the problem of semiparametric estimation for a cl...
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03/04/2021
High-dimensional estimation of quadratic variation based on penalized realized variance
In this paper, we develop a penalized realized variance (PRV) estimator ...
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09/06/2020
On estimation of quadratic variation for multivariate pure jump semimartingales
In this paper we present the asymptotic analysis of the realised quadrat...
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08/03/2020
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
In this paper we present new theoretical results for the Dantzig and Las...
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07/30/2020
Multi-dimensional parameter estimation of heavy-tailed moving averages
In this paper we present a parametric estimation method for certain mult...
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11/08/2019
A Minimal Contrast Estimator for the Linear Fractional Stable Motion
In this paper we present an estimator for the three-dimensional paramete...
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02/18/2018