23 citations · 172 across the 27 of their papers we have counts for
15 papers · 1 filter
On a Calculable Skorokhod's Integral Based Projection Estimator of the Drift Function in Fractional SDE
Nicolas Marie
This paper deals with a Skorokhod's integral based projection type estimator of the drift function computed from independent copies $X^1,\dot…
On a Computable Skorokhod's Integral Based Estimator of the Drift Parameter in Fractional SDE
Nicolas Marie
This paper deals with a Skorokhod's integral based least squares type estimator of the drift parameter computed from (possibly dependent) copi…
Nonparametric Drift Estimation from Diffusions with Correlated Brownian Motions
Fabienne Comte, Nicolas Marie
In the present paper, we consider that diffusion processes are observed on , where is fixed and grows to infinity. Contrary to most of the recent…
On a Projection Least Squares Estimator for Jump Diffusion Processes
Hélène Halconruy, Nicolas Marie
This paper deals with a projection least squares estimator of the drift function of a jump diffusion process computed from multiple independent copies of observed on $[0,T]…
Nonparametric Estimation for I.I.D. Paths of a Martingale Driven Model with Application to Non-Autonomous Financial Models
Nicolas Marie
This paper deals with a projection least squares estimator of the function computed from multiple independent observations on of the process defined by $dZ_t = J_…
On a Projection Estimator of the Regression Function Derivative
Fabienne Comte, Nicolas Marie
In this paper, we study the estimation of the derivative of a regression function in a standard univariate regression model. The estimators are defined either by derivating nonpara…