Arnaud Gloter

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All published works

Action	Title	Year	Authors
+	Evolving privacy: Drift parameter estimation for discretely observed i.i.d. diffusion processes under LDP	2024	Chiara Amorino Arnaud Gloter Hélène Halconruy
+ PDF Chat	Nonparametric estimation of the stationary density for Hawkes-diffusion systems with known and unknown intensity	2024	Chiara Amorino Charlotte Dion‐Blanc Arnaud Gloter Sarah Lemler
+ PDF Chat	Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes	2024	Chiara Amorino Arnaud Gloter
+	Non-adaptive estimation for degenerate diffusion processes	2024	Arnaud Gloter Nakahiro Yoshida
+ PDF Chat	Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process	2024	Arnaud Gloter Nakahiro Yoshida
+ PDF Chat	Evolving privacy: drift parameter estimation for discretely observed i.i.d. diffusion processes under LDP	2024	Chiara Amorino Arnaud Gloter Hélène Halconruy
+	Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity	2023	Chiara Amorino Arnaud Gloter
+	Minimax rate for multivariate data under componentwise local differential privacy constraints	2023	Chiara Amorino Arnaud Gloter
+ PDF Chat	Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations	2022	Sylvain Delattre Arnaud Gloter Nakahiro Yoshida
+ PDF Chat	On the nonparametric inference of coefficients of self-exciting jump-diffusion	2022	Chiara Amorino Charlotte Dion‐Blanc Arnaud Gloter Sarah Lemler
+	Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity	2022	Chiara Amorino Arnaud Gloter
+	Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime	2022	Chiara Amorino Arnaud Gloter
+ PDF Chat	Adaptive estimation for degenerate diffusion processes	2021	Arnaud Gloter Nakahiro Yoshida
+	Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes	2021	Chiara Amorino Arnaud Gloter
+ PDF Chat	Invariant density adaptive estimation for ergodic jump–diffusion processes over anisotropic classes	2020	Chiara Amorino Arnaud Gloter
+ PDF Chat	Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function	2020	Chiara Amorino Arnaud Gloter
+	Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes	2020	Chiara Amorino Arnaud Gloter
+ PDF Chat	Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes	2020	Chiara Amorino Arnaud Gloter
+	Adaptive and non-adaptive estimation for degenerate diffusion processes	2020	Arnaud Gloter Nakahiro Yoshida
+	Joint estimation for SDE driven by locally stable Lévy processes	2020	Emmanuelle Clément Arnaud Gloter
+ PDF Chat	Contrast function estimation for the drift parameter of ergodic jump diffusion process	2019	Chiara Amorino Arnaud Gloter
+ PDF Chat	Estimating functions for SDE driven by stable Lévy processes	2019	Emmanuelle Clément Arnaud Gloter
+ PDF Chat	NON-ASYMPTOTIC CONCENTRATION INEQUALITY FOR AN APPROXIMATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION DRIVEN BY COMPOUND POISSON PROCESS	2018	Arnaud Gloter Igor Honoré Dasha Loukianova
+ PDF Chat	Jump filtering and efficient drift estimation for Lévy-driven SDEs	2018	Arnaud Gloter Dasha Loukianova Hilmar Mai
+ PDF Chat	LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process	2018	Emmanuelle Clément Arnaud Gloter Huong Nguyen Thu
+ PDF Chat	Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process	2018	Emmanuelle Clément Arnaud Gloter Huong Nguyen Thu
+	Contrast function estimation for the drift parameter of ergodic jump diffusion process	2018	Chiara Amorino Arnaud Gloter
+ PDF Chat	An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient	2017	Emmanuelle Clément Arnaud Gloter
+	Jump filtering and efficient drift estimation for Lévy-driven SDE's	2016	Arnaud Gloter Dasha Loukianova Hilmar Mai
+	An application of the KMT construction to the pathwise weak error in the Euler approximation of the geometric Brownian motion	2015	Emmanuelle Clément Arnaud Gloter
+ PDF Chat	Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment	2014	Mikael Falconnet Arnaud Gloter Dasha Loukianova
+	Asymptotic lower bounds in estimating jumps	2014	Emmanuelle Clément Sylvain Delattre Arnaud Gloter
+ PDF Chat	Asymptotic lower bounds in estimating jumps	2014	Emmanuelle Clément Sylvain Delattre Arnaud Gloter
+	Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment	2014	Mikael Falconnet Dasha Loukianova Arnaud Gloter
+ PDF Chat	Asymptotic lower bounds in estimating jumps	2014	Emmanuelle Clément Sylvain Delattre Arnaud Gloter
+	Distance between two skew Brownian motions as a S.D.E. with jumps and law of the hitting time	2013	Arnaud Gloter Miguel Martínez
+	An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility	2013	Emmanuelle Clément Sylvain Delattre Arnaud Gloter
+ PDF Chat	Optimality properties in estimating jumps	2011	Emmanuelle Clément Sylvain Delattre Arnaud Gloter
+ PDF Chat	Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time	2011	Arnaud Gloter Miguel Martínez
+ PDF Chat	Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time	2011	Arnaud Gloter Miguel A. Martínez
+ PDF Chat	Multifractal analysis in a mixed asymptotic framework	2010	Emmanuel Bacry Arnaud Gloter Marc Hoffmann J. F. Muzy
+	Multifractal analysis in a mixed asymptotic framework	2008	Emmanuel Bacry Arnaud Gloter Marc Hoffmann Jean–François Muzy
+ PDF Chat	LAMN property for hidden processes: The case of integrated diffusions	2008	Arnaud Gloter Emmanuel Gobet
+ PDF Chat	Estimation of the Hurst parameter from discrete noisy data	2007	Arnaud Gloter Marc Hoffmann
+	Parameter Estimation for a Discretely Observed Integrated Diffusion Process	2006	Arnaud Gloter
+	Parameter Estimation for a Discretely Observed Integrated Diffusion Process	2006	Arnaud Gloter
+ PDF Chat	Diffusions with measurement errors. II. Optimal estimators	2001	Arnaud Gloter Jean Jacod
+ PDF Chat	Diffusions with measurement errors. I. Local Asymptotic Normality	2001	Arnaud Gloter Jean Jacod

Common Coauthors

Coauthor	Papers Together
Chiara Amorino	16
Emmanuelle Clément	11
Sylvain Delattre	6
Nakahiro Yoshida	5
Dasha Loukianova	5
Marc Hoffmann	3
Emmanuel Bacry	2
Charlotte Dion‐Blanc	2
Hélène Halconruy	2
Jean–François Muzy	2
Mikael Falconnet	2
Huong Nguyen Thu	2
Hilmar Mai	2
Jean Jacod	2
Sarah Lemler	2
Miguel Martínez	2
Miguel A. Martínez	1
Emmanuel Gobet	1
Igor Honoré	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	Estimation for diffusion processes from discrete observation	1992	Nakahiro Yoshida	10
+	Estimation of an Ergodic Diffusion from Discrete Observations	1997	Mathieu Kessler	10
+ PDF Chat	Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach	2001	Emmanuel Gobet	7
+	Approximate discrete-time schemes for statistics of diffusion processes	1989	Danielle Florens-Zmirou	6
+	Ergodicity and exponential <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si2.gif" display="inline" overflow="scroll"><mml:mi>β</mml:mi></mml:math>-mixing bounds for multidimensional diffusions with jumps	2006	H. Masuda	6
+	Asymptotic theory of extimation when the limit of the log - likelihood ratios is mixed normal	1980	Pratheepa Jeganathan	6
+	Adaptive estimation for stochastic damping Hamiltonian systems under partial observation	2017	Fabienne Comte Clémentine Prieur Adeline Samson	6
+	Statistical Inference for Ergodic Diffusion Processes	2004	Yury A. Kutoyants	6
+ PDF Chat	Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case	2006	Arnak S. Dalalyan Markus Reiß	6
+ PDF Chat	Adaptive invariant density estimation for ergodic diffusions over anisotropic classes	2018	Claudia Strauch	5
+ PDF Chat	Statistical Estimation: Asymptotic Theory	2014	I. A. Ibragimov R. Z. Khasʹminskiĭ	5
+ PDF Chat	Contrast function estimation for the drift parameter of ergodic jump diffusion process	2019	Chiara Amorino Arnaud Gloter	5
+ PDF Chat	Diffusions with measurement errors. I. Local Asymptotic Normality	2001	Arnaud Gloter Jean Jacod	5
+ PDF Chat	Penalized nonparametric mean square estimation of the coefficients of diffusion processes	2007	Fabienne Comte Valentine Genon‐Catalot Yves Rozenholc	5
+	Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency	2013	H. Masuda	5
+ PDF Chat	Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process	2018	H. Masuda	4
+	Propriété LAN pour les diffusions ergodiques avec observations discrètes	2002	Emmanuel Gobet	4
+ PDF Chat	Penalized nonparametric drift estimation for a multidimensional diffusion process	2011	Émeline Schmisser	4
+ PDF Chat	Fisher's Information for Discretely Sampled Lvy Processes	2008	Yacine At-Sahalia Jean Jacod	4
+ PDF Chat	Martingale Estimation Functions for Discretely Observed Diffusion Processes	1995	Bo Martin Bibby Michael Sørensen Michael Sørensen	4
+ PDF Chat	Invariant density adaptive estimation for ergodic jump–diffusion processes over anisotropic classes	2020	Chiara Amorino Arnaud Gloter	4
+	Asymptotic properties of realized power variations and related functionals of semimartingales	2007	Jean Jacod	4
+ PDF Chat	The Morris–Lecar neuron model embeds a leaky integrate-and-fire model	2012	Susanne Ditlevsen Priscilla E. Greenwood	4
+ PDF Chat	Bandwidth selection in kernel density estimation: Oracle inequalities and adaptive minimax optimality	2011	Alexander Goldenshluger Oleg Lepski	4
+	Parameter Estimation for a Discretely Observed Integrated Diffusion Process	2006	Arnaud Gloter	3
+ PDF Chat	Jump filtering and efficient drift estimation for Lévy-driven SDEs	2018	Arnaud Gloter Dasha Loukianova Hilmar Mai	3
+	Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems	2001	Liming Wu	3
+ PDF Chat	LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process	2018	Emmanuelle Clément Arnaud Gloter Huong Nguyen Thu	3
+	Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations	2010	Nakahiro Yoshida	3
+	M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps	2006	Yasutaka Shimizu	3
+	Asymptotic Statistics	1998	Aad van der Vaart	3
+	Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes	2020	Chiara Amorino Arnaud Gloter	3
+	Densité des diffusions en temps petit: développements asymptotiques	1984	Robert Azencott	3
+ PDF Chat	On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling	2010	Reiichiro Kawai H. Masuda	3
+	Limit theorems for multipower variation in the presence of jumps	2006	Ole E. Barndorff‐Nielsen Neil Shephard Matthias Winkel	3
+	Adaptive estimation of an ergodic diffusion process based on sampled data	2012	Masayuki Uchida Nakahiro Yoshida	3
+	A contrast estimator for completely or partially observed hypoelliptic diffusion	2012	Adeline Samson Michèle Thieullen	3
+	Introduction to Nonparametric Estimation	2008	Alexandre B. Tsybakov	3
+	Threshold estimation of Markov models with jumps and interest rate modeling	2010	Cecilia Mancini Roberto Renò	3
+ PDF Chat	Malliavin calculus, geometric mixing, and expansion of diffusion functionals	2000	Shigeo Kusuoka Nakahiro Yoshida	3
+ PDF Chat	Adaptive estimation of the stationary density of discrete and continuous time mixing processes	2002	Fabienne Comte Florence Merlevède	3
+	Bounds for the Mixing Rate in the Theory of Stochastic Equations	1988	A. Yu. Veretennikov	3
+ PDF Chat	On estimating the diffusion coefficient	1987	Gejza Dohnal	3
+	Adaptive estimation in diffusion processes	1999	Marc Hoffmann	3
+ PDF Chat	Inequalities for absolutely regular sequences: application to density estimation	1997	Gabrielle Viennet	3
+ PDF Chat	Diffusions with measurement errors. II. Optimal estimators	2001	Arnaud Gloter Jean Jacod	3
+	Inference for Observations of Integrated Diffusion Processes	2004	Susanne Ditlevsen Michael Sørensen	3
+ PDF Chat	Volatility estimators for discretely sampled Lévy processes	2007	Yacine Aït‐Sahalia Jean Jacod	3
+ PDF Chat	Anisotropic adaptive kernel deconvolution	2013	Fabienne Comte Claire Lacour	3
+ PDF Chat	Density Estimation in a Continuous-Time Stationary Markov Process	1979	Hung T. Nguyen	3