6 citations · 16 across the 14 of their papers we have counts for
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math.ST2007
Maximum likelihood estimators and random walks in long memory models
Karine Bertin, Soledad Torres, Ciprian Tudor
We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parame…
stat.ME2007
Full Bayesian analysis for a class of jump-diffusion models
Laura L. R. Rifo, Soledad Torres
A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like fin…
math.PR2007★ 1 cited
Donsker theorem for the Rosenblatt process and a binary market model
Ciprian Tudor, Soledad Torres
In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numeri…