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Estimating discontinuous periodic signals in a time inhomogeneous diffusion

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  • Reinhard Höpfner & Yury Kutoyants, 2010. "Estimating discontinuous periodic signals in a time inhomogeneous diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 193-230, October.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:3:p:193-230
    DOI: 10.1007/s11203-010-9046-7
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    1. Dzhaparidze, K. & van Zanten, J. H., 2001. "On Bernstein-type inequalities for martingales," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 109-117, May.
    2. Uwe Kuchler & Y. A. Kutoyants, 2000. "Delay Estimation for Some Stationary Diffusion‐type Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 405-414, September.
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    Cited by:

    1. E. A. Pchelintsev & S. M. Pergamenshchikov, 2018. "Oracle inequalities for the stochastic differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 469-483, July.
    2. Evgeny Pchelintsev & Serguei Pergamenshchikov & Maria Leshchinskaya, 2022. "Improved estimation method for high dimension semimartingale regression models based on discrete data," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 537-576, October.
    3. Dehay, D. & El Waled, K., 2013. "Nonparametric estimation problem for a time-periodic signal in a periodic noise," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 608-615.
    4. R. Z. Khasminskii & N. V. Krylov, 2022. "On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 3-16, April.
    5. Herold Dehling & Brice Franke & Thomas Kott & Reg Kulperger, 2014. "Change point testing for the drift parameters of a periodic mean reversion process," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 1-18, April.
    6. Victor, Konev & Serguei, Pergamenchtchikov, 2015. "Robust model selection for a semimartingale continuous time regression from discrete data," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 294-326.
    7. Sergueï Dachian & Ilia Negri, 2011. "On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 255-271, October.
    8. Dominique Dehay, 2015. "Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(1), pages 69-98, April.
    9. Vlad Stefan Barbu & Slim Beltaief & Sergey Pergamenshchikov, 2019. "Robust adaptive efficient estimation for semi-Markov nonparametric regression models," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 187-231, July.
    10. Simon Holbach, 2018. "Local asymptotic normality for shape and periodicity in the drift of a time inhomogeneous diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 527-538, October.
    11. Sévérien Nkurunziza & Pei Patrick Zhang, 2018. "Estimation and testing in generalized mean-reverting processes with change-point," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 191-215, April.
    12. Oçafrain, William, 2020. "Q-processes and asymptotic properties of Markov processes conditioned not to hit moving boundaries," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3445-3476.

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