310 citations · 1.1k across the 52 of their papers we have counts for
3 papers · 2 filters
On Lasso estimator for the drift function in diffusion models
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we study the properties of the Lasso estimator of the drift component in the diffusion setting. More specifically, we consider a multivariate parametric diffusion mod…
Estimation of mixed fractional stable processes using high-frequency data
Fabian Mies, Mark Podolskij
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable Lévy processes, and fractional Brownian motion. For this reason it may…
Parameter estimation of discretely observed interacting particle systems
Chiara Amorino, Akram Heidari, Vytautė Pilipauskaitė +1
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of in…