94 citations · 133 across the 33 of their papers we have counts for
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stat.ME2023
Likelihood-based inference and forecasting for trawl processes: a stochastic optimization approach
Dan Leonte, Almut E. D. Veraart
We consider trawl processes, which are stationary and infinitely divisible stochastic processes and can describe a wide range of statistical properties, such as heavy tails and lon…
stat.ME2023★ 1 cited
Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate Lévy-driven continuous-time autoregressive processes of order $p\in\ma…
stat.ME2023
Periodic trawl processes: Simulation, statistical inference and applications in energy markets
Almut E. D. Veraart
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flex…