96 citations · 248 across the 34 of their papers we have counts for
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Recursive Maximum Likelihood Estimation for Interacting Particle Systems using Virtual Particles
Louis Sharrock, Nikolas Kantas, Grigorios A. Pavliotis
We study recursive maximum likelihood estimation for stochastic interacting particle systems based on continuous observation of a single particle. In this regime, consistent estima…
A Minimum Distance Estimator Approach for Misspecified Ergodic Processes
Jaroslav I. Borodavka, Sebastian Krumscheid, Grigorios A. Pavliotis
We propose a minimum distance estimator (MDE) for parameter identification in misspecified models characterized by a sequence of ergodic stochastic processes that converge weakly t…
Multiscale Inference for High-Frequency Data
Sofia Olhede, Adam Sykulski, Grigorios Pavliotis
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale…