64 citations · 195 across the 18 of their papers we have counts for
3 papers · 1 filter
Parameter Estimation in Nonlinear Multivariate Stochastic Differential Equations Based on Splitting Schemes
Predrag Pilipovic, Adeline Samson, Susanne Ditlevsen
The likelihood functions for discretely observed nonlinear continuous-time models based on stochastic differential equations are not available except for a few cases. Various param…
High-dimensional cointegration and Kuramoto systems
Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discus…
Weighted Reduced Rank Estimators Under Cointegration Rank Uncertainty
Christian Holberg, Susanne Ditlevsen
Cointegration analysis was developed for non-stationary linear processes that exhibit stationary relationships between coordinates. Estimation of the cointegration relationships in…