Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Jeannette H.C. Woerner"'
Publikováno v:
Statistical Inference for Stochastic Processes. 25:337-353
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel process is non-ergodic and the theory of martingale estimating function
Publikováno v:
Stochastic Analysis and Applications. 40:589-609
In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling scheme that t
Autor:
Annika Betken, Herold Dehling, Jannis Buchsteiner, Alexander Schnurr, Ines Münker, Jeannette H.C. Woerner
Publikováno v:
Scandinavian Journal of Statistics. 48:969-1000
We analyze the ordinal structure of long-range dependent time series. To this end, we use so called ordinal patterns which describe the relative position of consecutive data points. We provide two estimators for the probabilities of ordinal patterns
Autor:
Michael Voit, Jeannette H.C. Woerner
We study Bessel and Dunkl processes ( X t , k ) t ≥ 0 on R N with possibly multivariate coupling constants k ≥ 0 . These processes describe interacting particle systems of Calogero–Moser–Sutherland type with N particles. For the root systems
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e6bf4cb704e5d225f87aebcda815e75
Autor:
Michael Voit, Jeannette H.C. Woerner
Multivariate Bessel processes $(X_{t,k})_{t\ge0}$ describe interacting particle systems of Calogero-Moser-Sutherland type and are related with $\beta$-Hermite and $\beta$-Laguerre ensembles. They depend on a root system and a multiplicity $k$ which c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e14c22fa153dd192f01f9302573b3206
http://hdl.handle.net/2003/38160
http://hdl.handle.net/2003/38160
We study Bessel processes on Weyl chambers of types A and B on $$\mathbb{R}^N$$ . Using elementary symmetric functions, we present several space-timeharmonic functions and thus martingales for these processes $$(X_t)_{t\ge0}$$ which are independent f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f469d90de3a9e43019659f28aaa9fa3b
Publikováno v:
Bernoulli 25, no. 2 (2019), 902-931
In this paper we study the problem of statistical inference for a continuoustime moving average Lévy process of the form Zt=∫ℝκ(t-s)dLs, t∈ℝ with a deterministic kernel κ and a Lévy process L. Especially the estimation of the Lévy measur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b04ee545bdece2b34c4067a8e1762cb2
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85064059422
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85064059422
Publikováno v:
Stochastic Analysis and Applications. 34:852-881
This article gives an exhaustive mathematical analysis of the Gumbel test for additive jump components based on extreme value theory. The Gumbel test was first introduced by Lee and Mykland in 2008 from an economical point of view. They consider a co
Publikováno v:
Journal of Theoretical Probability. 22:856-870
In this paper we consider the asymptotic behavior of functionals of processes of the form ∫ 0 u s dB , where B H is a fractional Brownian motion with Hurst parameter H, and u is a process with finite q-variation, q
Autor:
Jeannette H.C. Woerner
Publikováno v:
Advances in Applied Probability. 39:531-549
Based on the concept of multipower variation we establish a class of easily computable and robust estimators for the integrated volatility, especially including the squared integrated volatility, in Lévy-type stochastic volatility models. We derive