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05/17/2023
Minimax rate for multivariate data under componentwise local differential privacy constraints
Our research delves into the balance between maintaining privacy and pre...
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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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08/05/2022
Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime
Let (X_t)_t ≥ 0 be solution of a one-dimensional stochastic differential...
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03/02/2022
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
We aim at estimating in a non-parametric way the density π of the statio...
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10/06/2021
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes
We study the problem of the nonparametric estimation for the density π o...
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01/21/2021
Optimal convergence rates for the invariant density estimation of jump-diffusion processes
We aim at estimating the invariant density associated to a stochastic di...
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11/24/2020
On the nonparametric inference of coefficients of self-exciting jump-diffusion
In this paper, we consider a one-dimensional diffusion process with jump...
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11/24/2020
Minimax rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes
We study the problem of the non-parametric estimation for the density of...
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01/21/2020
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes
We consider the solution X = (Xt) t>0 of a multivariate stochastic diffe...
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10/25/2019
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
In this paper we consider an ergodic diffusion process with jumps whose ...
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04/24/2019
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
The problem of integrated volatility estimation for the solution X of a ...
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07/24/2018
