10 citations · 12 across the 8 of their papers we have counts for
12 papers
Wigner- and Marchenko-Pastur-type limits for Jacobi processes
Martin Auer, Michael Voit, Jeannette H. C. Woerner
We study Jacobi processes on the compact spaces and on the noncompact spaces which are motivated by the Heckman-Opdam theory for the roo…
Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
Michael Voit, Jeannette H. C. Woerner
We study Bessel and Dunkl processes on with possibly multivariate coupling constants . These processes describe interacting particle system…
Martingale estimation functions for Bessel processes
Nicole Hufnagel, Jeannette H. C. Woerner
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel p…
The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime
Michael Voit, Jeannette H. C. Woerner
Multivariate Bessel processes describe Calogero-Moser-Sutherland particle models and are related with -Hermite and -Laguerre ensembles. They depend on a root system and a mul…
Some martingales associated with multivariate Bessel processes
Miklos Kornyik, Michael Voit, Jeannette H. C. Woerner
We study Bessel processes on Weyl chambers of types A and B on . Using elementary symmetric functions, we present several space-time-harmonic functions and thus martin…
Ordinal Patterns in Long-Range Dependent Time Series
Annika Betken, Jannis Buchsteiner, Herold Dehling +3
We analyze the ordinal structure of long-range dependent time series. To this end, we use so called ordinal patterns which describe the relative position of consecutive data points…
Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
Radomyra Shevchenko, Jeannette H. C. Woerner
In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stocha…
Functional central limit theorems for multivariate Bessel processes in the freezing regime
Michael Voit, Jeannette H. C. Woerner
Multivariate Bessel processes describe interacting particle systems of Calogero-Moser-Sutherland type and are related with -Hermite and -Laguerre ensemble…
Low frequency estimation of continuous-time moving average Lévy processes
Denis Belomestny, Vladimir Panov, Jeannette Woerner
In this paper we study the problem of statistical inference for a continuous-time moving average Lévy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad…
Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean
Herold Dehling, Brice Franke, Jeannette H. C. Woerner
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator…
Statistical convergence of Markov experiments to diffusion limits
Valentin Konakov, Enno Mammen, Jeannette Woerner
Assume that one observes the th, thth value of a Markov chain . That means we assume that a high frequency Markov chain runs in the back…
Well-balanced Levy Driven Ornstein-Uhlenbeck Processes
Alexander Schnurr, Jeannette H. C. Woerner
In this paper we introduce the well-balanced Lévy driven Ornstein-Uhlenbeck process as a moving average process of the form . In contrast to Lévy driven…