# Statistical Inference for Stochastic Processes

1998 - 2017

Current editor(s): Denis Bosq, Yury A. Kutoyants and Marc Hallin

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Volume 20, issue 3, 2017

Foreword from the Editors pp. 273-274
Marc Hallin and Yury Kutoyants
Circular autocorrelation of stationary circular Markov processes pp. 275-290
Toshihiro Abe, Hiroaki Ogata, Takayuki Shiohama and Hiroyuki Taniai
Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models pp. 291-313
Fumiya Akashi
Asymptotic normality of quadratic forms of martingale differences pp. 315-327
Liudas Giraitis, Masanobu Taniguchi and Murad S. Taqqu
Time series regression models with locally stationary disturbance pp. 329-346
Junichi Hirukawa
The asymptotics of misspecified MLEs for some stochastic processes: a survey pp. 347-367
Yury A. Kutoyants
Statistical inference for quantiles in the frequency domain pp. 369-386
Yan Liu
Moment convergence of Z-estimators pp. 387-397
Ilia Negri and Yoichi Nishiyama

Volume 20, issue 2, 2017

Periodic autoregressive stochastic volatility pp. 139-177
Abdelhakim Aknouche
Autoregressive functions estimation in nonlinear bifurcating autoregressive models pp. 179-210
S. Valère Bitseki Penda and Adélaïde Olivier
Parameter estimation of Ornstein–Uhlenbeck process generating a stochastic graph pp. 211-235
Emmanuel Gobet and Gustaw Matulewicz
Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise pp. 237-252
Wooyong Lee, Priscilla E. Greenwood, Nancy Heckman and Wolfgang Wefelmeyer
The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points pp. 253-272
Michael Messer and Gaby Schneider

Volume 20, issue 1, 2017

Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean pp. 1-14
Herold Dehling, Brice Franke and Jeannette H. C. Woerner
Time endogeneity and an optimal weight function in pre-averaging covariance estimation pp. 15-56
Yuta Koike
On maximum likelihood estimation of the drift matrix of a degenerated O–U process pp. 57-78
Ana Prior, Marina Kleptsyna and Paula Milheiro-Oliveira
Memory properties of transformations of linear processes pp. 79-103
Hailin Sang and Yongli Sang
Two-step estimation of ergodic Lévy driven SDE pp. 105-137
Hiroki Masuda and Yuma Uehara

Volume 19, issue 3, 2016

On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator pp. 259-287
Maroua Ben Abdeddaiem
Integral curves from noisy diffusion MRI data with closed-form uncertainty estimates pp. 289-319
Owen Carmichael and Lyudmila Sakhanenko
Classification error in multiclass discrimination from Markov data pp. 321-336
Sören Christensen, Albrecht Irle and Lars Willert
Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions pp. 337-361
Stella Kitromilidou and Konstantinos Fokianos
Asymptotics for random functions moderated by dependent noise pp. 363-387
Ansgar Steland

Volume 19, issue 2, 2016

Bidimensional random effect estimation in mixed stochastic differential model pp. 131-158
C. Dion and V. Genon-Catalot
A kriging procedure for processes indexed by graphs pp. 159-173
T. Espinasse and J.-M. Loubes
Estimating integrated co-volatility with partially miss-ordered high frequency data pp. 175-197
Zhi Liu
Modified Schwarz and Hannan–Quinn information criteria for weak VARMA models pp. 199-217
Yacouba Boubacar Maïnassara and Célestin C. Kokonendji
Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation pp. 219-234
Ivan Nourdin, David Nualart and Rola Zintout
The Gumbel test and jumps in the volatility process pp. 235-258
Christian Palmes and Jeannette H. C. Woerner

Volume 19, issue 1, 2016

Estimating functions for noisy observations of ergodic diffusions pp. 1-28
Benjamin Favetto
On the consistency of the MLE for Ornstein–Uhlenbeck and other selfdecomposable processes pp. 29-50
Michael Grabchak
Nonparametric regression on random fields with random design using wavelet method pp. 51-69
Linyuan Li
Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case pp. 71-91
Ester Mariucci
Asymptotic theory of parameter estimation by a contrast function based on interpolation error pp. 93-110
Yoshihiro Suto, Yan Liu and Masanobu Taniguchi
Blockwise bootstrap of the estimated empirical process based on $$\psi$$ ψ -weakly dependent observations pp. 111-129
Barbara Wieczorek

Volume 18, issue 3, 2015

Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind pp. 205-227
Ehsan Azmoodeh and Lauri Viitasaari
Adaptive pointwise estimation for pure jump Lévy processes pp. 229-256
Mélina Bec and Claire Lacour
Cox process functional learning pp. 257-277
Gérard Biau, Benoît Cadre and Quentin Paris
Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations pp. 279-291
Yaozhong Hu, Chihoon Lee, Myung Lee and Jian Song
Stability of the filter with Poisson observations pp. 293-313
Zhiqiang Li and Jie Xiong
Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process pp. 315-332
Katsuto Tanaka

Volume 18, issue 2, 2015

Quadratic random coefficient autoregression with linear-in-parameters volatility pp. 99-125
Abdelhakim Aknouche
On a Poissonian change-point model with variable jump size pp. 127-150
Sergueï Dachian and Lin Yang
Asymptotic behavior of mixed power variations and statistical estimation in mixed models pp. 151-175
Marco Dozzi, Yuliya Mishura and Georgiy Shevchenko
Hybrid multi-step estimators for stochastic differential equations based on sampled data pp. 177-204
Kengo Kamatani and Masayuki Uchida

Volume 18, issue 1, 2015

Difference based estimators and infill statistics pp. 1-31
José León and Carenne Ludeña
Limit theorems for bifurcating integer-valued autoregressive processes pp. 33-67
Bernard Bercu and Vassili Blandin
Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes pp. 69-98
Dominique Dehay

Volume 17, issue 3, 2014

On stationarity and second-order properties of bilinear random fields pp. 221-244
Abdelouahab Bibi and Karima Kimouche
Histograms for stationary linear random fields pp. 245-266
Michel Carbon
AIC type statistics for discretely observed ergodic diffusion processes pp. 267-282
Takayuki Fujii and Masayuki Uchida
Misparametrization subsets for penalized least squares model selection pp. 283-294
Xavier Guyon and Cécile Hardouin
On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes pp. 295-319
M. Kleptsyna and Yu. Kutoyants

Volume 17, issue 2, 2014

Central limit theorems for empirical product densities of stationary point processes pp. 121-138
Lothar Heinrich and Stella Klein
On asymptotic distribution of parameter free tests for ergodic diffusion processes pp. 139-161
Yury Kutoyants
Truncated stochastic approximation with moving bounds: convergence pp. 163-179
Teo Sharia
Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations pp. 181-219
Masayuki Uchida and Nakahiro Yoshida

Volume 17, issue 1, 2014

Change point testing for the drift parameters of a periodic mean reversion process pp. 1-18
Herold Dehling, Brice Franke, Thomas Kott and Reg Kulperger
Second-order continuous-time non-stationary Gaussian autoregression pp. 19-49
N. Lin and S. Lototsky
On goodness-of-fit testing for ergodic diffusion process with shift parameter pp. 51-73
Ilia Negri and Li Zhou
Parameter estimation for the stochastic SIS epidemic model pp. 75-98
Jiafeng Pan, Alison Gray, David Greenhalgh and Xuerong Mao
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise pp. 99-120
Andreas Neuenkirch and Samy Tindel
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