Zobrazeno 1 - 10
of 24
pro vyhledávání: '"FAVETTO, Benjamin"'
Autor:
Favetto, Benjamin
Les modèles aléatoires basés sur l'observation bruitée de diffusions discrétisées sont couramment utilisés en biologie ou en finance pour rendre compte de la présence d'erreur (ou bruit) entâchant la mesure d'un phénomène dont le comportem
Autor:
BLOCH, Laurence1 (AUTHOR) laurence.bloch@insee.fr, FAVETTO, Benjamin2 (AUTHOR), LAGOUGE, Adrien3 (AUTHOR), SÉDILLOT, Franck4 (AUTHOR)
Publikováno v:
Revue d'Économie Financière. 2022, Issue 147, p265-288. 24p.
Autor:
FAVETTO, BENJAMIN, SAMSON, ADELINE
Publikováno v:
Scandinavian Journal of Statistics, 2010 Jun 01. 37(2), 200-220.
Externí odkaz:
https://www.jstor.org/stable/41000875
Autor:
Cuenod, Charles-André, Favetto, Benjamin, Genon-Catalot, Valentine, Rozenholc, Yves, Samson, Adeline
Publikováno v:
In Mathematical Biosciences 2011 233(1):68-76
Autor:
Favetto, Benjamin
This article deals with the modeling of the trading activity on the European electricity intraday market by a self-exciting point process (also known as Hawkes process). It gives some empirical evidence of self-excitement, and discuss the time-homoge
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::002e9983a924b55f3983f177b7c6ef4e
https://hal.archives-ouvertes.fr/hal-02089289/file/Hawkes_process_and_electricity_market.pdf
https://hal.archives-ouvertes.fr/hal-02089289/file/Hawkes_process_and_electricity_market.pdf
Autor:
Favetto, Benjamin1 (AUTHOR) benjamin.favetto@gmail.com
Publikováno v:
Statistics. Dec2014, Vol. 48 Issue 6, p1344-1370. 27p.
Autor:
Favetto, Benjamin
Publikováno v:
ESAIM: Probability & Statistics. Jan2012, Vol. 16, p151-164. 14p.
Autor:
Favetto, Benjamin
Publikováno v:
Statistical Inference for Stochastic Processes; Apr2016, Vol. 19 Issue 1, p1-28, 28p
Autor:
Benjamin Favetto
Publikováno v:
MAP5 2010-30. 2010
In this article, general estimating functions for ergodic diffusions sampled at high frequency with noisy observations are presented. The theory is formulated in term of approximate martingale estimating functions based on local means of the observat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f866cda5b3f14e37edd04eb820c8e737
https://hal.archives-ouvertes.fr/hal-00531096v2/document
https://hal.archives-ouvertes.fr/hal-00531096v2/document
Autor:
Benjamin Favetto
Publikováno v:
MAP5 2010-13. 2010
We consider the estimation of unknown parameters in the drift and diffusion coefficients of a one-dimensional ergodic diffusion X when the observation Y is a discrete sampling of X with an additive noise, at times i *delta, i = 1 ... N. Assuming that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::58df580072f493ec34fa0bb4a9a1aafa
https://hal.archives-ouvertes.fr/hal-00493967v2
https://hal.archives-ouvertes.fr/hal-00493967v2