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stat.ME2026
Strang splitting estimator for nonlinear multivariate stochastic differential equations with Pearson-type multiplicative noise
Predrag Pilipović, Adeline Samson, Susanne Ditlevsen
Multivariate Pearson diffusions are characterized by a linear drift and a diffusion matrix that is quadratic in the state variables. We derive closed-form expressions for the mean…
stat.ME2022
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…