25 citations · 67 across the 18 of their papers we have counts for
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math.ST2015
Generalized Post-Widder inversion formula with application to statistics
Denis Belomestny, Hilmar Mai, John Schoenmakers
In this work we derive an inversion formula for the Laplace transform of a density observed on a curve in the complex domain, which generalizes the well known Post-Widder formula.…
math.ST2015★ 1 cited
Forward-reverse EM algorithm for Markov chains: convergence and numerical analysis
Christian Bayer, Hilmar Mai, John Schoenmakers
We develop a forward-reverse EM (FREM) algorithm for estimating parameters that determine the dynamics of a discrete time Markov chain evolving through a certain measurable state s…
math.ST2014★ 2 cited
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…