3 papers
math.ST2019
Nonparametric estimation of jump rates for a specific class of Piecewise Deterministic Markov Processes
Nathalie Krell, Emeline Schmisser
In this paper, we consider a piecewise deterministic Markov process (PDMP), with known flow and deterministic transition measure, and unknown jump rate . To estimate nonparametr…
math.ST2013
Non parametric estimation of the diffusion coefficents of a diffusion with jumps
Emeline Schmisser
In this article, we consider a jump diffusion process (X_t), with drift function b, diffusion coefficient sigma and jump coefficient xi^{2}. This process is observed at discrete ti…
math.ST2012
Non-parametric adaptive estimation of the drift for a jump diffusion process
Emeline Schmisser
In this article, we consider a jump diffusion process (X_t)observed at discrete times t=0,Delta,...,nDelta. The sampling interval Delta tends to 0 and nDelta tends to infinity. We…