48 citations · 192 across the 16 of their papers we have counts for
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math.ST2015
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
Denis Belomestny, Mathias Trabs
The estimation of the diffusion matrix of a high-dimensional, possibly time-changed Lévy process is studied, based on discrete observations of the process with a fixed distance…
math.ST2015
Spectral estimation for diffusions with random sampling times
Jakub Chorowski, Mathias Trabs
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estima…