310 citations · 1.1k across the 52 of their papers we have counts for
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Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Chiara Amorino, Francisco Pina, Mark Podolskij
In this paper, we address high-dimensional parametric estimation of the drift function in diffusion models, specifically focusing on a -dimensional ergodic diffusion process obs…
On nonparametric estimation of the interaction function in particle system models
Denis Belomestny, Mark Podolskij, Shi-Yuan Zhou
This paper delves into a nonparametric estimation approach for the interaction function within diffusion-type particle system models. We introduce two estimation methods based upon…
Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
Chiara Amorino, Denis Belomestny, Vytautė Pilipauskaitė +2
This paper investigates the estimation of the interaction function for a class of McKean-Vlasov stochastic differential equations. The estimation is based on observations of the as…