23 citations · 172 across the 27 of their papers we have counts for
6 papers · 1 filter
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…
On a Set-Valued Young Integral with Applications to Differential Inclusions
Laure Coutin, Nicolas Marie, Paul Raynaud de Fitte
We present a new Aumann-like integral for a Hölder multifunction with respect to a Hölder signal, based on the Young integral of a particular set of Hölder selections. This restric…
Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes
Nicolas Marie, Amélie Rosier
This paper deals with a nonparametric Nadaraya-Watson estimator of the drift function computed from independent continuous observations of a diffusion process. Risk bounds…
Projection Estimators of the Stationary Density of a Differential Equation Driven by the Fractional Brownian Motion
Nicolas Marie
The paper deals with projection estimators of the density of the stationary solution to a differential equation driven by the fractional Brownian motion under a dissipativity c…
Tight Risk Bound for High Dimensional Time Series Completion
Pierre Alquier, Nicolas Marie, Amélie Rosier
Initially designed for independent datas, low-rank matrix completion was successfully applied in many domains to the reconstruction of partially observed high-dimensional time seri…