5 citations · 19 across the 17 of their papers we have counts for
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On a family of test statistics for discretely observed diffusion processes
Alessandro De Gregorio, Stefano Iacus
We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics, related to the so call…
Adaptive LASSO-type estimation for ergodic diffusion processes
A. De Gregorio, S. M. Iacus
The LASSO is a widely used statistical methodology for simultaneous estimation and variable selection. In the last years, many authors analyzed this technique from a theoretical an…
Divergences Test Statistics for Discretely Observed Diffusion Processes
Alessandro De Gregorio, Stefano Iacus
In this paper we propose the use of -divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, θ)\de t +…
Least squares volatility change point estimation for partially observed diffusion processes
A. De Gregorio, S. M. Iacus
A one dimensional diffusion process , with drift and diffusion coefficient known up to , is supposed to switch volatili…
Parametric estimation for planar random flights observed at discrete times
Alessandro De Gregorio
We deal with a planar random flight observed at equidistant times . The aim of this paper is to estimate the unknown value o…
Parametric estimation for the standard and geometric telegraph process observed at discrete times
Alessandro De Gregorio, Stefano M. Iacus
The telegraph process , , (Goldstein, 1951) and the geometric telegraph process with a known constant and a parame…