103 citations
- Laboratoire de Mathématiques Blaise PascalFR98 papers
- LAM FoundationUS41 papers
- Université d'Évry Val-d'EssonneFR36 papers
- Laboratoire Analyse et Modélisation pour la Biologie et l'EnvironnementFR35 papers
- Centre National de la Recherche ScientifiqueFR33 papers
- École Nationale Supérieure d’Informatique pour l’Industrie et l’EntrepriseFR24 papers
- Université Paris-SaclayFR20 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR15 papers
- Laboratoire de Probabilités, Statistique et ModélisationFR12 papers
- National Research University Higher School of EconomicsRU10 papers
- Université Paris CitéFR8 papers
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Showing 2019 · math.STShow all
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math.ST2019
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
Chiara Amorino, Arnaud Gloter
In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on and volatility coefficient depends on , two unknown parameters. We suppo…
math.ST2019
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
Chiara Amorino, Arnaud Gloter
The problem of integrated volatility estimation for the solution X of a stochastic differential equation with L{é}vy-type jumps is considered under discrete high-frequency observat…
math.ST2019★ 2 cited
Adjacency-constrained hierarchical clustering of a band similarity matrix with application to Genomics
Christophe Ambroise, Alia Dehman, Pierre Neuvial +2
Motivation: Genomic data analyses such as Genome-Wide Association Studies (GWAS) or Hi-C studies are often faced with the problem of partitioning chromosomes into successive region…