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## Iacus, Stefano Maria

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 Author ID: iacus.stefano-maria Published as: Iacus, S. M.; Iacus, Stefano M.; Iacus, Stefano Maria External Links: ORCID
 Documents Indexed: 34 Publications since 1997, including 2 Books
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#### Co-Authors

 7 single-authored 10 De Gregorio, Alessandro 5 La Torre, Davide 4 Yoshida, Nakahiro 3 Mercuri, Lorenzo 2 Porro, Giuseppe 1 Brouste, Alexandre 1 King, Gary 1 Kutoyants, Yury A. 1 Negri, Ilia 1 Rroji, Edit 1 Uchida, Masayuki
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#### Serials

 3 Statistical Inference for Stochastic Processes 2 Computational Statistics 2 Stochastic Processes and their Applications 2 Computational Statistics and Data Analysis 1 Information Sciences 1 Journal of the American Statistical Association 1 Journal of Multivariate Analysis 1 Journal of Statistical Planning and Inference 1 Statistics & Probability Letters 1 Journal of Time Series Analysis 1 Statistics 1 Communications in Statistics. Theory and Methods 1 Stochastics and Stochastics Reports 1 Mathematical Methods of Statistics 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 Journal of Nonparametric Statistics 1 Studies in Nonlinear Dynamics and Econometrics 1 Journal of Applied Mathematics and Decision Sciences 1 Econometric Theory 1 Applied Sciences 1 Nonlinear Analysis. Real World Applications 1 Statistical Methods and Applications 1 Electronic Journal of Statistics 1 Journal of the Italian Statistical Society 1 Springer Series in Statistics 1 Use R!
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#### Fields

 28 Statistics (62-XX) 12 Probability theory and stochastic processes (60-XX) 6 Numerical analysis (65-XX) 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Measure and integration (28-XX) 2 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Systems theory; control (93-XX)

#### Citations contained in zbMATH

27 Publications have been cited 194 times in 147 Documents Cited by Year
Simulation and inference for stochastic differential equations. With R examples. Zbl 1210.62112
Iacus, Stefano M.
2008
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package. Zbl 1306.65034
Brouste, Alexandre; Iacus, Stefano M.
2013
Estimation for the discretely observed telegraph process. Zbl 1242.62091
Iacus, S. M.; Yoshida, N.
2008
Statistical analysis of the inhomogeneous telegrapher’s process. Zbl 0999.62065
Iacus, Stefano Maria
2001
Adaptive LASSO-type estimation for multivariate diffusion processes. Zbl 1419.62170
De Gregorio, Alessandro; Iacus, Stefano M.
2012
Least squares volatility change point estimation for partially observed diffusion processes. Zbl 1144.62073
de Gregorio, Alessandro; Iacus, Stefano M.
2008
Multivariate matching methods that are monotonic imbalance bounding. Zbl 1396.62011
Iacus, Stefano M.; King, Gary; Porro, Giuseppe
2011
On Rényi information for ergodic diffusion processes. Zbl 1158.94346
de Gregorio, Alessandro; Iacus, Stefano M.
2009
Semiparametric hypotheses testing for dynamical systems with small noise. Zbl 1005.62072
Iacus, S. M.; Kutoyants, Yu. A.
2001
Estimation for the change point of volatility in a stochastic differential equation. Zbl 1235.62118
Iacus, Stefano M.; Yoshida, Nakahiro
2012
Missing data imputation, matching and other applications of random recursive partitioning. Zbl 05560194
Iacus, Stefano M.; Porro, Giuseppe
2007
On a family of test statistics for discretely observed diffusion processes. Zbl 1280.62094
De Gregorio, A.; Iacus, S. M.
2013
Parametric estimation for the standard and geometric telegraph process observed at discrete times. Zbl 1204.60088
De Gregorio, Alessandro; Iacus, Stefano Maria
2008
Approximating distribution functions by iterated function systems. Zbl 1094.62011
Iacus, Stefano Maria; La Torre, Davide
2005
A comparative simulation study on the IFS distribution function estimator. Zbl 1074.62027
Iacus, Stefano M.; La Torre, Davide
2005
Least-squares change-point estimation for the telegraph process observed at discrete times. Zbl 1228.62104
De Gregorio, Alessandro; Iacus, Stefano M.
2011
Clustering of discretely observed diffusion processes. Zbl 05689613
de Gregorio, Alessandro; Iacus, Stefano Maria
2010
Estimating unobservable signal by Markovian noise induction: when noise helps in statistics! Zbl 1056.62004
Iacus, Stefano M.; Negri, Ilia
2003
Implementation of Lévy CARMA model in yuima package. Zbl 1329.65031
Iacus, Stefano M.; Mercuri, Lorenzo
2015
Divergences test statistics for discretely observed diffusion processes. Zbl 1184.62144
de Gregorio, Alessandro; Iacus, Stefano M.
2010
Parametric estimation for partially hidden diffusion processes sampled at discrete times. Zbl 1161.62049
Iacus, Stefano Maria; Uchida, Masayuki; Yoshida, Nakahiro
2009
Semiparametric estimation of the state of a dynamical system with small noise. Zbl 0981.62070
Iacus, Stefano Maria
2000
Empirical $$L^2$$-distance test statistics for ergodic diffusions. Zbl 1426.62239
De Gregorio, A.; Iacus, S. M.
2019
Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Zbl 06905113
Iacus, Stefano M.; Yoshida, Nakahiro
2018
On penalized estimation for dynamical systems with small noise. Zbl 1392.62248
De Gregorio, Alessandro; Iacus, Stefano Maria
2018
Statistical analysis of stochastic resonance with ergodic diffusion noise. Zbl 1034.93060
Iacus, Stefano Maria
2002
Efficient estimation of dynamical systems. Zbl 1079.91542
Iacus, Stefano Maria
2001
Empirical $$L^2$$-distance test statistics for ergodic diffusions. Zbl 1426.62239
De Gregorio, A.; Iacus, S. M.
2019
Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Zbl 06905113
Iacus, Stefano M.; Yoshida, Nakahiro
2018
On penalized estimation for dynamical systems with small noise. Zbl 1392.62248
De Gregorio, Alessandro; Iacus, Stefano Maria
2018
Implementation of Lévy CARMA model in yuima package. Zbl 1329.65031
Iacus, Stefano M.; Mercuri, Lorenzo
2015
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package. Zbl 1306.65034
Brouste, Alexandre; Iacus, Stefano M.
2013
On a family of test statistics for discretely observed diffusion processes. Zbl 1280.62094
De Gregorio, A.; Iacus, S. M.
2013
Adaptive LASSO-type estimation for multivariate diffusion processes. Zbl 1419.62170
De Gregorio, Alessandro; Iacus, Stefano M.
2012
Estimation for the change point of volatility in a stochastic differential equation. Zbl 1235.62118
Iacus, Stefano M.; Yoshida, Nakahiro
2012
Multivariate matching methods that are monotonic imbalance bounding. Zbl 1396.62011
Iacus, Stefano M.; King, Gary; Porro, Giuseppe
2011
Least-squares change-point estimation for the telegraph process observed at discrete times. Zbl 1228.62104
De Gregorio, Alessandro; Iacus, Stefano M.
2011
Clustering of discretely observed diffusion processes. Zbl 05689613
de Gregorio, Alessandro; Iacus, Stefano Maria
2010
Divergences test statistics for discretely observed diffusion processes. Zbl 1184.62144
de Gregorio, Alessandro; Iacus, Stefano M.
2010
On Rényi information for ergodic diffusion processes. Zbl 1158.94346
de Gregorio, Alessandro; Iacus, Stefano M.
2009
Parametric estimation for partially hidden diffusion processes sampled at discrete times. Zbl 1161.62049
Iacus, Stefano Maria; Uchida, Masayuki; Yoshida, Nakahiro
2009
Simulation and inference for stochastic differential equations. With R examples. Zbl 1210.62112
Iacus, Stefano M.
2008
Estimation for the discretely observed telegraph process. Zbl 1242.62091
Iacus, S. M.; Yoshida, N.
2008
Least squares volatility change point estimation for partially observed diffusion processes. Zbl 1144.62073
de Gregorio, Alessandro; Iacus, Stefano M.
2008
Parametric estimation for the standard and geometric telegraph process observed at discrete times. Zbl 1204.60088
De Gregorio, Alessandro; Iacus, Stefano Maria
2008
Missing data imputation, matching and other applications of random recursive partitioning. Zbl 05560194
Iacus, Stefano M.; Porro, Giuseppe
2007
Approximating distribution functions by iterated function systems. Zbl 1094.62011
Iacus, Stefano Maria; La Torre, Davide
2005
A comparative simulation study on the IFS distribution function estimator. Zbl 1074.62027
Iacus, Stefano M.; La Torre, Davide
2005
Estimating unobservable signal by Markovian noise induction: when noise helps in statistics! Zbl 1056.62004
Iacus, Stefano M.; Negri, Ilia
2003
Statistical analysis of stochastic resonance with ergodic diffusion noise. Zbl 1034.93060
Iacus, Stefano Maria
2002
Statistical analysis of the inhomogeneous telegrapher’s process. Zbl 0999.62065
Iacus, Stefano Maria
2001
Semiparametric hypotheses testing for dynamical systems with small noise. Zbl 1005.62072
Iacus, S. M.; Kutoyants, Yu. A.
2001
Efficient estimation of dynamical systems. Zbl 1079.91542
Iacus, Stefano Maria
2001
Semiparametric estimation of the state of a dynamical system with small noise. Zbl 0981.62070
Iacus, Stefano Maria
2000
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#### Cited by 244 Authors

 11 Iacus, Stefano Maria 10 De Gregorio, Alessandro 6 La Torre, Davide 6 Uchida, Masayuki 5 Di Crescenzo, Antonio 4 Es-Sebaiy, Khalifa 4 Martinucci, Barbara 3 Kaino, Yusuke 3 Kutoyants, Yury A. 3 Leonenko, Nikolai N. 3 Mendivil, Franklin 3 Mercuri, Lorenzo 3 Pirozzi, Enrica 3 Shen, Guangjun 3 Viitasaari, Lauri 3 Yoshida, Nakahiro 2 Albano, Giuseppina 2 Buonocore, Aniello 2 Douissi, Soukaina 2 Fujimori, Kou 2 Giorno, Virginia 2 Golshani, Leila 2 Iuliano, Antonella 2 Kolesnik, Alexander D. 2 Kunze, Herb E. 2 Kustosz, Christoph P. 2 Macci, Claudio 2 McKinlay, Shaun 2 Meoli, Alessandra 2 Mishra, Mahendra Nath 2 Mishura, Yuliya Stepanivna 2 Müller, Christine H. 2 Nakakita, Shogo H. 2 Nobile, Amelia G. 2 Pasha, Einollah 2 Prakasa Rao, B. L. S. 2 Ralchenko, Kostiantyn V. 2 Rroji, Edit 2 Seleznjev, Oleg 2 Soleymani, Fazlollah 2 Sorensen, Michael 2 Šuvak, Nenad 2 Viens, Frederi G. 2 Vrscay, Edward R. 2 Yu, Qian 2 Zacks, Shelemyahu 1 Abdeddaiem, Maroua Ben 1 Alazemi, Fares 1 Angelani, Luca 1 Asadi, Majid 1 Ascione, Giacomo 1 Augustyniak, Maciej 1 Avram, Florin 1 Azmoodeh, Ehsan 1 Baccouch, Mahboub 1 Bajja, Salwa 1 Barndorff-Nielsen, Ole Eiler 1 Bastos, João A. 1 Bäuerle, Nicole 1 Becker, C. H. 1 Bellini, Fabio 1 Berta, Paolo 1 Blackwell, Paul G. 1 Bonollo, Michele 1 Borovkov, Konstantin A. 1 Bossi, Matteo 1 Boudreault, Mathieu 1 Bunder, J. E. 1 Caiado, Jorge 1 Capasso, Vincenzo 1 Chaplain, Mark A. J. 1 Chauvet, Guillaume 1 Chen, Fuqi 1 Christiansen, Lasse Engbo 1 Conversano, Claudio 1 Crimaldi, Irene 1 Cugnata, Federica 1 Czechowski, Zbigniew 1 D’Amato, Valeria 1 Dettmann, Edward H. 1 Dewick, Paul 1 Di Lorenzo, Emilia 1 Di Persio, Luca 1 Dion, Charlotte 1 Ditlevsen, Susanne 1 Dong, Yi 1 Doove, Lisa L. 1 Dusseldorp, Elise 1 Ernst, Philip A. 1 Febrero-Bande, Manuel 1 Forman, Julie Lyng 1 Freiberg, Uta Renata 1 Fu, Pei 1 Fukasawa, Masaaki 1 García-Portugués, Eduardo 1 Garra, Roberto 1 Gatheral, Jim 1 Gatu, Cristian 1 Gelein, Brigitte 1 Gelfand, Alan Enoch ...and 144 more Authors
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#### Cited in 74 Serials

 12 Journal of Statistical Planning and Inference 10 Statistical Inference for Stochastic Processes 8 Computational Statistics and Data Analysis 6 Statistics & Probability Letters 5 Journal of Applied Probability 5 Stochastic Processes and their Applications 5 Quantitative Finance 4 Stochastics and Dynamics 4 Electronic Journal of Statistics 3 Information Sciences 3 Journal of Computational and Applied Mathematics 3 Nonlinear Analysis. Real World Applications 2 Advances in Applied Probability 2 Journal of Mathematical Biology 2 Annals of the Institute of Statistical Mathematics 2 Journal of Multivariate Analysis 2 Numerical Algorithms 2 Computational Statistics 2 Communications in Statistics. Simulation and Computation 2 Mathematical Methods of Statistics 2 Statistical Papers 2 Bernoulli 2 Chaos 2 Methodology and Computing in Applied Probability 2 Brazilian Journal of Probability and Statistics 2 Journal of the Korean Statistical Society 2 Modern Stochastics. Theory and Applications 1 Journal of Engineering Mathematics 1 Journal of Mathematical Analysis and Applications 1 Mathematical Biosciences 1 Metrika 1 Physica A 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Applied Mathematics and Computation 1 Journal of Econometrics 1 Numerische Mathematik 1 Journal of the Japan Statistical Society 1 Insurance Mathematics & Economics 1 Stochastic Analysis and Applications 1 Journal of Classification 1 Statistics 1 Statistical Science 1 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 1 Journal of Statistical Computation and Simulation 1 Statistica Sinica 1 INFORMS Journal on Computing 1 Journal of Nonparametric Statistics 1 Journal of Inequalities and Applications 1 Fractional Calculus & Applied Analysis 1 International Journal of Theoretical and Applied Finance 1 Acta Mathematica Sinica. English Series 1 Communications in Nonlinear Science and Numerical Simulation 1 Discrete and Continuous Dynamical Systems. Series B 1 Decisions in Economics and Finance 1 Journal of Machine Learning Research (JMLR) 1 Multiscale Modeling & Simulation 1 North American Actuarial Journal 1 Asia-Pacific Financial Markets 1 Statistical Methods and Applications 1 Advances in Difference Equations 1 Stochastics 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Frontiers of Mathematics in China 1 Algorithms 1 Set-Valued and Variational Analysis 1 Statistics Surveys 1 Journal of Agricultural, Biological, and Environmental Statistics 1 Journal of Probability and Statistics 1 Statistics and Computing 1 Annals of Finance 1 Statistics & Risk Modeling 1 Journal of Theoretical Biology 1 Cogent Mathematics
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#### Cited in 25 Fields

 97 Probability theory and stochastic processes (60-XX) 95 Statistics (62-XX) 21 Numerical analysis (65-XX) 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Biology and other natural sciences (92-XX) 7 Partial differential equations (35-XX) 5 Information and communication theory, circuits (94-XX) 4 Measure and integration (28-XX) 4 Ordinary differential equations (34-XX) 4 Systems theory; control (93-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Statistical mechanics, structure of matter (82-XX) 3 Operations research, mathematical programming (90-XX) 2 Operator theory (47-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Differential geometry (53-XX) 1 Computer science (68-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX)