V. Genon-Catalot

activity

20052014

most citedPenalized nonparametric mean square estimation of the coefficients of diffusion processes

93 citations · 207 across the 7 of their papers we have counts for

collaborators

Showing 2007Show all

3 papers · 1 filter

stat.ME2007★ 2 cited

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} $o f t h e p r ocess$ X $s a t i s f y in g$ dX_t= \sqrt{V_t} dB_t $, w i t h$ V_t$ a one-dimensional positive diffusion proces…

math.ST2007★ 93 cited

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 $(X_{t})$ which is observed at $n + 1$ discrete times with regular sampling interval $Δ$ . Assuming that $(X_{t})$ is strictly stationary,…

math.PR2007

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…