310 citations · 1.1k across the 52 of their papers we have counts for
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On estimation of quadratic variation for multivariate pure jump semimartingales
Johannes Heiny, Mark Podolskij
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric -stable Lévy processes, , and certain pure jump semim…
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Gabriela Ciolek, Dmytro Marushkevych, Mark Podolskij
In this paper we present new theoretical results for the Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model under sparsity constraints. Our fo…
Power variations for fractional type infinitely divisible random fields
Andreas Basse-O'Connor, Vytautė Pilipauskaitė, Mark Podolskij
This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields. More specifically, the random field $X = (X(\boldsymbol{…
Multi-dimensional parameter estimation of heavy-tailed moving averages
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present a parametric estimation method for certain multi-parameter heavy-tailed Lévy-driven moving averages. The theory relies on recent multivariate central limit…
Optimal estimation of some random quantities of a Lévy process
Jevgenijs Ivanovs, Mark Podolskij
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a Lévy process. More specifically, we in…