Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Amorino, Chiara"'
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation cases over a
Externí odkaz:
http://arxiv.org/abs/2410.10226
We consider the solution of an additive fractional stochastic differential equation (SDE) and, leveraging continuous observations of the process, introduce a methodology for estimating its stationary density $\pi$. Initially, employing a tailored mar
Externí odkaz:
http://arxiv.org/abs/2408.15904
In this paper, we address high-dimensional parametric estimation of the drift function in diffusion models, specifically focusing on a $d$-dimensional ergodic diffusion process observed at discrete time points. Assuming sparsity of the parameter vect
Externí odkaz:
http://arxiv.org/abs/2408.08638
The problem of estimating a parameter in the drift coefficient is addressed for $N$ discretely observed independent and identically distributed stochastic differential equations (SDEs). This is done considering additional constraints, wherein only pu
Externí odkaz:
http://arxiv.org/abs/2401.17829
This paper investigates the estimation of the interaction function for a class of McKean-Vlasov stochastic differential equations. The estimation is based on observations of the associated particle system at time $T$, considering the scenario where b
Externí odkaz:
http://arxiv.org/abs/2401.04667
Autor:
Amorino, Chiara, Gloter, Arnaud
Our research delves into the balance between maintaining privacy and preserving statistical accuracy when dealing with multivariate data that is subject to \textit{componentwise local differential privacy} (CLDP). With CLDP, each component of the pri
Externí odkaz:
http://arxiv.org/abs/2305.10416
We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional L\'evy processes and that of a mixed Gaussian random variable. Furthermore, we provide a gener
Externí odkaz:
http://arxiv.org/abs/2302.05885
We present a novel theoretical result on estimation of local time and occupation time measure of an {\alpha}-stable L\'evy process with {\alpha} in (1, 2). Our approach is based upon computing the conditional expectation of the desired quantities giv
Externí odkaz:
http://arxiv.org/abs/2210.07672
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general framework,
Externí odkaz:
http://arxiv.org/abs/2208.11965
Autor:
Amorino, Chiara, Gloter, Arnaud
Let $(X_t)_{t \ge 0}$ be solution of a one-dimensional stochastic differential equation. Our aim is to study the convergence rate for the estimation of the invariant density in intermediate regime, assuming that a discrete observation of the process
Externí odkaz:
http://arxiv.org/abs/2208.03253