10 citations · 30 across the 9 of their papers we have counts for
6 papers · 1 filter
Adaptive minimax estimation for discretely observed Lévy processes
Céline Duval, Taher Jalal, Ester Mariucci
In this paper, we study the nonparametric estimation of the density of an increment of a Lévy process based on observations with a sampling rate . The class of Lév…
Nonparametric density estimation for the small jumps of Lévy processes
Céline Duval, Taher Jalal, Ester Mariucci
We consider the problem of estimating the density of the process associated with the small jumps of a pure jump Lévy process, possibly of infinite variation, from discrete observat…
Decompounding discrete distributions: A non-parametric Bayesian approach
Shota Gugushvili, Ester Mariucci, Frank van der Meulen
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a…
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Alexandra Carpentier, Céline Duval, Ester Mariucci
It is common practice to treat small jumps of Lévy processes as Wiener noise and thus to approximate its marginals by a Gaussian distribution. However, results that allow to quanti…
A Bayesian nonparametric approach to log-concave density estimation
Ester Mariucci, Kolyan Ray, Botond Szabo
The estimation of a log-concave density on is a canonical problem in the area of shape-constrained nonparametric inference. We present a Bayesian nonparametric approac…
Le cam theory on the comparison of statistical models
Ester Mariucci
We recall the main concepts of the Le Cam theory of statistical experiments , especially the notion of Le Cam distance and its properties. We also review classical tools for boundi…