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math.ST2025
Local asymptotic normality for discretely observed McKean-Vlasov diffusions
Akram Heidari, Mark Podolskij
We study the local asymptotic normality (LAN) property for the likelihood function associated with discretely observed -dimensional McKean-Vlasov stochastic differential equatio…
stat.ME2025
On goodness-of-fit testing for volatility in McKean-Vlasov models
Akram Heidari, Mark Podolskij
This paper develops a statistical framework for goodness-of-fit testing of volatility functions in i.i.d. McKean-Vlasov stochastic differential equations, which model large diffusi…
math.ST2025
Consistent support recovery for high-dimensional diffusions
Dmytro Marushkevych, Francisco Pina, Mark Podolskij
Statistical inference for stochastic processes has advanced significantly due to applications in diverse fields, but challenges remain in high-dimensional settings where parameters…