2 citations · 5 across the 6 of their papers we have counts for
3 papers · 1 filter
On nonparametric estimation of the interaction function in particle system models
Denis Belomestny, Mark Podolskij, Shi-Yuan Zhou
This paper delves into a nonparametric estimation approach for the interaction function within diffusion-type particle system models. We introduce two estimation methods based upon…
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…
Statistical Skorohod embedding problem and its generalizations
Denis Belomestny, John Schoenmakers
Given a Lévy process , we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time based on i.i.d. sample f…