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Shota Gugushvili

Personal Details

First Name:Shota
Middle Name:
Last Name:Gugushvili
Suffix:
RePEc Short-ID:pgu633
[This author has chosen not to make the email address public]
https://gugushvili.github.io

Affiliation

Universiteit Leiden, Faculteit der Wiskunde en Natuurwetenschappen, Mathematisch Instituut (Leiden University, Faculty of Science, Mathematical Institute)

https://www.universiteitleiden.nl/en/science/mathematics
Netherlands, Leiden

Research output

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Jump to: Working papers Articles

Working papers

  1. Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility learning under microstructure noise," Papers 1805.05606, arXiv.org, revised Mar 2024.
  2. Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility estimation," Papers 1801.09956, arXiv.org, revised Mar 2019.

Articles

  1. Shota Gugushvili & Ester Mariucci & Frank van der Meulen, 2020. "Decompounding discrete distributions: A nonparametric Bayesian approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 464-492, June.
  2. Itai Dattner & Shota Gugushvili, 2018. "Application of one†step method to parameter estimation in ODE models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(2), pages 126-156, May.
  3. Shota Gugushvili & Frank Meulen & Peter Spreij, 2018. "A non-parametric Bayesian approach to decompounding from high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 53-79, April.
  4. Shota Gugushvili & Bert van Es & Peter Spreij, 2011. "Deconvolution for an atomic distribution: rates of convergence," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(4), pages 1003-1029.
  5. Shota Gugushvili & Chris Klaassen & Peter Spreij, 2010. "Editorial introduction," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 255-256, August.
  6. Shota Gugushvili, 2009. "Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(3), pages 321-343.
  7. van Es, Bert & Gugushvili, Shota, 2008. "Weak convergence of the supremum distance for supersmooth kernel deconvolution," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2932-2938, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility estimation," Papers 1801.09956, arXiv.org, revised Mar 2019.

    Cited by:

    1. Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility learning under microstructure noise," Papers 1805.05606, arXiv.org, revised Mar 2024.
    2. Geurt Jongbloed & Frank H. van der Meulen & Lixue Pang, 2022. "Bayesian nonparametric estimation in the current status continuous mark model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1329-1352, September.

Articles

  1. Shota Gugushvili & Frank Meulen & Peter Spreij, 2018. "A non-parametric Bayesian approach to decompounding from high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 53-79, April.

    Cited by:

    1. Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Post-Print hal-02891046, HAL.
    2. Goffard, Pierre-Olivier & Laub, Patrick J., 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 350-371.
    3. Wolfgang Karcher & Stefan Roth & Evgeny Spodarev & Corinna Walk, 2019. "An inverse problem for infinitely divisible moving average random fields," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 263-306, July.
    4. Shota Gugushvili & Ester Mariucci & Frank van der Meulen, 2020. "Decompounding discrete distributions: A nonparametric Bayesian approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 464-492, June.

  2. Shota Gugushvili & Bert van Es & Peter Spreij, 2011. "Deconvolution for an atomic distribution: rates of convergence," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(4), pages 1003-1029.

    Cited by:

    1. Costa, Manon & Gadat, Sébastien & Gonnord, Pauline & Risser, Laurent, 2018. "Cytometry inference through adaptive atomic deconvolution," TSE Working Papers 18-905, Toulouse School of Economics (TSE).

  3. Shota Gugushvili, 2009. "Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(3), pages 321-343.

    Cited by:

    1. Nickl, Richard & Reiß, Markus, 2012. "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers 2012-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Söhl, Jakob, 2010. "Polar sets for anisotropic Gaussian random fields," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 840-847, May.
    4. Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
    5. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
    7. Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
    8. Zhang, Zhimin & Yang, Hailiang, 2014. "Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 168-177.
    9. Schmisser, Émeline, 2019. "Non parametric estimation of the diffusion coefficients of a diffusion with jumps," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5364-5405.
    10. Söhl, Jakob, 2009. "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers 2009-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Kato, Kengo & Kurisu, Daisuke, 2020. "Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1159-1205.
    12. Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
    13. Fabienne Comte & Céline Duval & Valentine Genon-Catalot, 2014. "Nonparametric density estimation in compound Poisson processes using convolution power estimators," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(1), pages 163-183, January.

  4. van Es, Bert & Gugushvili, Shota, 2008. "Weak convergence of the supremum distance for supersmooth kernel deconvolution," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2932-2938, December.

    Cited by:

    1. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    2. Hao Dong & Yuya Sasaki, 2022. "Estimation of Average Derivatives of Latent Regressors: With an Application to Inference on Buffer-Stock Saving," Papers 2209.05914, arXiv.org.
    3. Ali Al-Sharadqah & Majid Mojirsheibani & William Pouliot, 2020. "On the performance of weighted bootstrapped kernel deconvolution density estimators," Statistical Papers, Springer, vol. 61(4), pages 1773-1798, August.
    4. Hao Dong & Taisuke Otsu & Luke Taylor, 2019. "Average Derivative Estimation Under Measurement Error," Departmental Working Papers 1901, Southern Methodist University, Department of Economics.
    5. Katharina Proksch & Nicolai Bissantz & Hajo Holzmann, 2022. "Simultaneous inference for Berkson errors-in-variables regression under fixed design," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 773-800, August.
    6. Kato, Kengo & Sasaki, Yuya, 2018. "Uniform confidence bands in deconvolution with unknown error distribution," Journal of Econometrics, Elsevier, vol. 207(1), pages 129-161.
    7. Kengo Kato & Yuya Sasaki & Takuya Ura, 2021. "Robust inference in deconvolution," Quantitative Economics, Econometric Society, vol. 12(1), pages 109-142, January.
    8. Kengo Kato & Yuya Sasaki & Takuya Ura, 2018. "Inference based on Kotlarski's Identity," Papers 1808.09375, arXiv.org, revised Sep 2019.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2018-05-28 2018-06-11
  2. NEP-RMG: Risk Management (2) 2018-05-28 2018-06-11
  3. NEP-ETS: Econometric Time Series (1) 2018-06-11

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