93 citations · 207 across the 7 of their papers we have counts for
7 papers
Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
Valentine Genon-Catalot, Catherine Larédo
We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Eule…
Estimation for Lévy processes from high frequency data within a long time interval
Fabienne Comte, Valentine Genon-Catalot
In this paper, we study nonparametric estimation of the Lévy density for Lévy processes, with and without Brownian component. For this, we consider discrete time observations w…
Nonparametric adaptive estimation for pure jump Lévy processes
Fabienne Comte, Valentine Genon-Catalot
This paper is concerned with nonparametric estimation of the Lévy density of a pure jump Lévy process. The sample path is observed at discrete instants with fixed sampling inte…
Nonparametric estimation for a stochastic volatility model
Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc
Consider discrete time observations (X_{\ellδ})_{1\leq \ell \leq n+1}XdX_t= \sqrt{V_t} dB_tV_t$ a one-dimensional positive diffusion proces…
Penalized nonparametric mean square estimation of the coefficients of diffusion processes
Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc
We consider a one-dimensional diffusion process which is observed at discrete times with regular sampling interval . Assuming that is strictly stationary,…
Filtering the Wright-Fisher diffusion
Mireille Chaleyat-Maurel, Valentine Genon-Catalot
We consider a Wright-Fisher diffusion (x(t)) whose current state cannot be observed directly. Instead, at times t1 < t2 < . . ., the observations y(ti) are such that, given the pro…