94 citations · 133 across the 33 of their papers we have counts for
7 papers · 1 filter
Consistent community recovery in stochastic block Ornstein-Uhlenbeck processes
Anders Norlyk, Almut E. D. Veraart
We propose the stochastic block Ornstein-Uhlenbeck (SBOU) process, a continuous-time multivariate model in which the drift matrix encodes a latent group structure among its compone…
Edge-indexed network time series with graph Ornstein-Uhlenbeck dynamics
Jiaming Chen, Almut E. D. Veraart
We introduce a class of Lévy-driven graph Ornstein-Uhlenbeck (grOU) models for edge-indexed network time series. The proposed framework extends generalized network autoregressive (…
The Markov approximation of the periodic multivariate Poisson autoregression
Mahmoud Khabou, Edward A. K. Cohen, Almut E. D. Veraart
This paper introduces a periodic multivariate Poisson autoregression with potentially infinite memory, with a special focus on the network setting. Using contraction techniques, we…
Nonparametric estimation of trawl processes: Theory and applications
Orimar Sauri, Almut E. D. Veraart
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets.…
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential…
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart +1
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martinga…