Chiara Amorino

activity

20182020

collaborators

5 papers

math.ST2020

Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes

Chiara Amorino

We study the problem of the non-parametric estimation for the density of the stationary distribution of the multivariate stochastic differential equation with jumps (Xt) , when the…

math.ST2020

Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes

Chiara Amorino, Arnaud Gloter

We consider the solution X = (Xt) t $\geq$ 0 of a multivariate stochastic differential equation with Levy-type jumps and with unique invariant probability measure with density $μ$ . We…

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 $μ$ and volatility coefficient depends on $σ$ , 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.ST2018

Contrast function estimation for the drift parameter of ergodic jump diffusion process

Chiara Amorino, Arnaud Gloter

In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on an unknown parameter $θ$ . We suppose that the process is discretely observed at…