Amorino, Chiara; Gloter, Arnaud Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity. (English) Zbl 07659661 Statistics 57, No. 1, 213-259 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Amorino} and \textit{A. Gloter}, Statistics 57, No. 1, 213--259 (2023; Zbl 07659661) Full Text: DOI arXiv
Delattre, Sylvain; Gloter, Arnaud; Yoshida, Nakahiro Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations. (English. French summary) Zbl 1498.60325 Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 4, 1998-2028 (2022). MSC: 60J60 62G07 62G20 PDFBibTeX XMLCite \textit{S. Delattre} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 4, 1998--2028 (2022; Zbl 1498.60325) Full Text: DOI arXiv Link
Gloter, Arnaud; Yoshida, Nakahiro Adaptive estimation for degenerate diffusion processes. (English) Zbl 1471.62374 Electron. J. Stat. 15, No. 1, 1424-1472 (2021). MSC: 62H12 62F12 60J60 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{N. Yoshida}, Electron. J. Stat. 15, No. 1, 1424--1472 (2021; Zbl 1471.62374) Full Text: DOI arXiv
Clément, Emmanuelle; Gloter, Arnaud; Nguyen, Huong LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process. (English) Zbl 1416.60052 ESAIM, Probab. Stat. 23, 136-175 (2019). MSC: 60G51 62F12 60H07 60F05 60G52 60J75 PDFBibTeX XMLCite \textit{E. Clément} et al., ESAIM, Probab. Stat. 23, 136--175 (2019; Zbl 1416.60052) Full Text: DOI
Gloter, Arnaud; Loukianova, Dasha; Mai, Hilmar Jump filtering and efficient drift estimation for Lévy-driven SDEs. (English) Zbl 1430.60066 Ann. Stat. 46, No. 4, 1445-1480 (2018). MSC: 60J74 62F12 62M05 PDFBibTeX XMLCite \textit{A. Gloter} et al., Ann. Stat. 46, No. 4, 1445--1480 (2018; Zbl 1430.60066) Full Text: DOI arXiv
Falconnet, M.; Gloter, A.; Loukianova, D. Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment. (English) Zbl 1310.62100 Math. Methods Stat. 23, No. 3, 159-175 (2014). MSC: 62M05 62F12 60J25 PDFBibTeX XMLCite \textit{M. Falconnet} et al., Math. Methods Stat. 23, No. 3, 159--175 (2014; Zbl 1310.62100) Full Text: DOI arXiv
Clément, Emmanuelle; Delattre, Sylvain; Gloter, Arnaud Asymptotic lower bounds in estimating jumps. (English) Zbl 1401.62136 Bernoulli 20, No. 3, 1059-1096 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 62M09 62F12 60J75 60H10 62P05 PDFBibTeX XMLCite \textit{E. Clément} et al., Bernoulli 20, No. 3, 1059--1096 (2014; Zbl 1401.62136) Full Text: DOI arXiv Euclid
Clément, Emmanuelle; Gloter, Arnaud Limit theorems in the Fourier transform method for the estimation of multivariate volatility. (English) Zbl 1220.62052 Stochastic Processes Appl. 121, No. 5, 1097-1124 (2011). MSC: 62G20 60F05 62P05 60H05 62M05 65C60 PDFBibTeX XMLCite \textit{E. Clément} and \textit{A. Gloter}, Stochastic Processes Appl. 121, No. 5, 1097--1124 (2011; Zbl 1220.62052) Full Text: DOI
Gloter, Arnaud; Sørensen, Michael Estimation for stochastic differential equations with a small diffusion coefficient. (English) Zbl 1157.62055 Stochastic Processes Appl. 119, No. 3, 679-699 (2009). MSC: 62M05 62F12 65C60 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{M. Sørensen}, Stochastic Processes Appl. 119, No. 3, 679--699 (2009; Zbl 1157.62055) Full Text: DOI
Gloter, Arnaud; Gobet, Emmanuel LAMN property for hidden processes: the case of integrated diffusions. (English) Zbl 1182.62170 Ann. Inst. Henri Poincaré, Probab. Stat. 44, No. 1, 104-128 (2008). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62M09 62F12 60J60 60H07 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{E. Gobet}, Ann. Inst. Henri Poincaré, Probab. Stat. 44, No. 1, 104--128 (2008; Zbl 1182.62170) Full Text: DOI arXiv EuDML
Gloter, Arnaud; Hoffmann, Marc Estimation of the Hurst parameter from discrete noisy data. (English) Zbl 1126.62073 Ann. Stat. 35, No. 5, 1947-1974 (2007). MSC: 62M09 62G99 62F12 62G05 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{M. Hoffmann}, Ann. Stat. 35, No. 5, 1947--1974 (2007; Zbl 1126.62073) Full Text: DOI arXiv Euclid
Gloter, Arnaud Efficient estimation of drift parameters in stochastic volatility models. (English) Zbl 1142.62089 Finance Stoch. 11, No. 4, 495-519 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 62P05 62F12 62M09 PDFBibTeX XMLCite \textit{A. Gloter}, Finance Stoch. 11, No. 4, 495--519 (2007; Zbl 1142.62089) Full Text: DOI
Gloter, Arnaud Parameter estimation for a discretely observed integrated diffusion process. (English) Zbl 1126.62070 Scand. J. Stat. 33, No. 1, 83-104 (2006). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{A. Gloter}, Scand. J. Stat. 33, No. 1, 83--104 (2006; Zbl 1126.62070) Full Text: DOI
Gloter, Arnaud; Jacod, Jean Diffusions with measurement errors. II: Optimal estimators. (English) Zbl 1009.60065 ESAIM, Probab. Stat. 5, 243-260 (2001). MSC: 60J60 62F12 62M05 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{J. Jacod}, ESAIM, Probab. Stat. 5, 243--260 (2001; Zbl 1009.60065) Full Text: DOI Numdam EuDML
Gloter, Arnaud; Jacod, Jean Diffusions with measurement errors. I: Local asymptotic normality. (English) Zbl 1008.60089 ESAIM, Probab. Stat. 5, 225-242 (2001). MSC: 60J60 62F12 62M05 PDFBibTeX XMLCite \textit{A. Gloter} and \textit{J. Jacod}, ESAIM, Probab. Stat. 5, 225--242 (2001; Zbl 1008.60089) Full Text: DOI Numdam EuDML
Gloter, Arnaud Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. (English) Zbl 0980.62072 Statistics 35, No. 3, 225-243 (2001). MSC: 62M05 62F12 62M10 65C60 PDFBibTeX XMLCite \textit{A. Gloter}, Statistics 35, No. 3, 225--243 (2001; Zbl 0980.62072) Full Text: DOI
Gloter, Arnaud Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent. (English) Zbl 1043.62070 ESAIM, Probab. Stat. 4, 205-227 (2000). MSC: 62M05 62F12 62M10 PDFBibTeX XMLCite \textit{A. Gloter}, ESAIM, Probab. Stat. 4, 205--227 (2000; Zbl 1043.62070) Full Text: DOI EuDML