4 citations · 6 across the 7 of their papers we have counts for
8 papers
Optimal Sampling for Estimation of Fractional Brownian Motion
Xiang Cui, Alexandra Chronopoulou
In this paper, we focus on multiple sampling problems for the estimation of the fractional Brownian motion when the maximum number of samples is limited, extending existing results…
A Customer Choice Model with HALO Effect
Reza Yousefi Maragheh, Alexandra Chronopoulou, James Mario Davis
In this paper, we propose an extension to the multinomial logit (MNL) model, the Halo MNL, that takes into account the interaction effects among products in an assortment. In parti…
Sequential Monte Carlo for fractional Stochastic Volatility Models
Alexandra Chronopoulou, Konstantinos Spiliopoulos
In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. W…
Maximum likelihood estimation for small noise multiscale diffusions
Konstantinos Spiliopoulos, Alexandra Chronopoulou
We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the nois…
On inference for fractional differential equations
Alexandra Chronopoulou, Samy Tindel
Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fract…
Optimal sequential change-detection for fractional diffusion-type processes
Alexandra Chronopoulou, Georgios Fellouris
We consider the problem of detecting an abrupt change in the distribution of a sequentially observed stochastic process. We establish the optimality of the CUSUM test with respect…
Variations and Hurst index estimation for a Rosenblatt process using longer filters
Alexandra Chronopoulou, Ciprian Tudor, Frederi Viens
The Rosenblatt process is a self-similar non-Gaussian process which lives in second Wiener chaos, and occurs as the limit of correlated random sequences in so-called \textquotedbll…
Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
Alexandra Chronopoulou, Frederi Viens, Ciprian Tudor
We consider the class of all the Hermite processes of order and with Hurst parameter . The pr…