Statistical Methods For High Dimensional Diffusions

Project Information

STAMFORD

Grant agreement ID: 815703

DOI

10.3030/815703

Project closed

EC signature date 14 January 2019

Start date 1 September 2019

End date 28 February 2025

Funded under

• EXCELLENT SCIENCE - European Research Council (ERC)

Total cost

€ 1 655 048,00

EU contribution

€ 1 655 048,00

Coordinated by

UNIVERSITE DU LUXEMBOURG
Luxembourg

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (23)

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity

Author(s): Chiara Amorino and Arnaud Gloter
Published in: Statistics, 2023, ISSN 0233-1888
Publisher: Taylor & Francis
DOI: 10.1080/02331888.2023.2166047

Asymptotic theory for quadratic variation of harmonizable fractional stable processes

Author(s): Andreas Basse-O’Connor, Mark Podolskij
Published in: Theory of Probability and Mathematical Statistics, Issue 110, 2024, Page(s) 3-12, ISSN 0094-9000
Publisher: American Mathematical Society
DOI: 10.1090/tpms/1203

On Lasso estimator for the drift function in diffusion models

Author(s): Gabriela Ciołek, Dmytro Marushkevych, Mark Podolskij
Published in: Bernoulli, Issue 31, 2025, ISSN 1350-7265
Publisher: Chapman & Hall
DOI: 10.3150/24-bej1781

Semiparametric estimation of McKean-Vlasov SDEs

Author(s): Denis Belomestnya, Vytaute Pilipauskait and Mark Podolskij
Published in: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2023, ISSN 0246-0203
Publisher: Elsevier BV
DOI: 10.1214/22-aihp1261

Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes

Author(s): Amorino, Chiara
Published in: Electronic Journal of Statistics, Issue 4, 2021, ISSN 1935-7524
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/21-ejs1913

Optimal convergence rates for the invariant density estimation of jump-diffusion processes

Author(s): Amorino, Chiara; Nualart, Eulalia
Published in: ESAIM: Probability and Statistics, 2020, ISSN 1292-8100
Publisher: EDP Sciences
DOI: 10.1051/ps/2022001

On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model

Author(s): Gabriela Ciołek, Dmytro Marushkevych, Mark Podolskij
Published in: Electronic Journal of Statistics, Issue 14/2, 2020, Page(s) 4395-4420, ISSN 1935-7524
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/20-ejs1775

Parameter estimation of discretely observed interacting particle systems

Author(s): Chiara Amorino, Akram Heidari, Vytautė Pilipauskaitė, Mark Podolskij
Published in: Stochastic Processes and their Applications, 2023, ISSN 0304-4149
Publisher: Elsevier BV
DOI: 10.1016/j.spa.2023.06.011

High-dimensional estimation of quadratic variation based on penalized realized variance

Author(s): Kim Christensen, Mikkel Slot Nielsen and Mark Podolskij
Published in: Statistical Inference for Stochastic Processes, 2023, ISSN 1387-0874
Publisher: Kluwer Academic Publishers
DOI: 10.1007/s11203-022-09282-8

Hyperbolic Anderson model with time-independent rough noise: Gaussian fluctuations

Author(s): Raluca M. Balan, Wangjun Yuan
Published in: Electronic Journal of Probability, Issue 29, 2024, ISSN 1083-6489
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/24-ejp1239

Estimation of mixed fractional stable processes using high-frequency data

Author(s): Fabian Mies, Mark Podolskij
Published in: The Annals of Statistics, Issue 51, 2024, ISSN 0090-5364
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/23-aos2312

Optimal estimation of some random quantities of a Lévy process

Author(s): Jevgenijs Ivanovs and Mark Podolskij
Published in: Electronic Journal of Statistics, 2022, ISSN 1935-7524
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/21-ejs1928

On a class of stochastic fractional heat equations

Author(s): Jian Song, Meng Wang, Wangjun Yuan
Published in: Proceedings of the American Mathematical Society, Issue 153, 2024, Page(s) 341-356, ISSN 0002-9939
Publisher: American Mathematical Society
DOI: 10.1090/proc/17011

Evolving privacy: Drift parameter estimation for discretely observed i.i.d. diffusion processes under LDP

Author(s): Chiara Amorino, Arnaud Gloter, Hélène Halconruy
Published in: Stochastic Processes and their Applications, Issue 181, 2025, Page(s) 104557, ISSN 0304-4149
Publisher: Elsevier BV
DOI: 10.1016/j.spa.2024.104557

Gaussian fluctuations for the wave equation under rough random perturbations

Author(s): Raluca M. Balan, Jingyu Huang, Xiong Wang, Panqiu Xia, Wangjun Yuan
Published in: Stochastic Processes and their Applications, Issue 182, 2025, Page(s) 104569, ISSN 0304-4149
Publisher: Elsevier BV
DOI: 10.1016/j.spa.2025.104569

Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process

Author(s): Chiara Amorino, Arturo Jaramillo, Mark Podolskij
Published in: Modern Stochastics: Theory and Applications, 2024, Page(s) 149-168, ISSN 2351-6046
Publisher: VTex
DOI: 10.15559/24-vmsta243

On the nonparametric inference of coefficients of self-exciting jump-diffusion

Author(s): Chiara Amorino, Charlotte Dion-Blanc, Arnaud Gloter, Sarah Lemler
Published in: Electronic Journal of Statistics, Issue 16, 2022, ISSN 1935-7524
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/22-ejs2019

On spectrum of sample covariance matrices from large tensor vectors

Author(s): Wangjun Yuan
Published in: Latin American Journal of Probability and Mathematical Statistics, Issue 21, 2024, Page(s) 1527, ISSN 1980-0436
Publisher: Instituto Nacional de Matematica Pura e Aplicada
DOI: 10.30757/alea.v21-57

On estimation of quadratic variation for multivariate pure jump semimartingales

Author(s): Heiny, Johannes; Podolskij, Mark
Published in: Stochastic Processes and Their Applications, 2021, ISSN 0304-4149
Publisher: Elsevier BV
DOI: 10.1016/j.spa.2021.04.016

On eigenvalues of the Brownian sheet matrix

Author(s): Jian Song, Yimin Xiao, Wangjun Yuan
Published in: Stochastic Processes and their Applications, Issue 166, 2023, Page(s) 104231, ISSN 0304-4149
Publisher: Elsevier BV
DOI: 10.1016/j.spa.2023.104231

Polynomial rates via deconvolution for nonparametric estimation in McKean–Vlasov SDEs

Author(s): Chiara Amorino, Denis Belomestny, Vytautė Pilipauskaitė, Mark Podolskij, Shi-Yuan Zhou
Published in: Probability Theory and Related Fields, 2024, ISSN 0178-8051
Publisher: Springer Verlag
DOI: 10.1007/s00440-024-01346-5

Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion

Author(s): Jian Song, Jianfeng Yao, Wangjun Yuan
Published in: Random Matrices: Theory and Applications, Issue 13, 2024, Page(s) 2450009, ISSN 2010-3263
Publisher: World Scientific
DOI: 10.1142/s2010326324500096

Limit theorems for general functionals of Brownian local times

Author(s): Simon Campese, Nicolas Lengert, Mark Podolskij
Published in: Electronic Journal of Probability, Issue 29, 2024, ISSN 1083-6489
Publisher: Institute of Mathematical Statistics
DOI: 10.1214/24-ejp1196

Other (15)

Strong convergence for tensor GUE random matrices

Author(s): Benoît Collins and Wangjun Yuan
Published in: Arxiv, 2024
Publisher: Arxiv

Power variations for fractional type infinitely divisible random fields

Author(s): Andreas Basse-O'Connor, Vytautė Pilipauskaitė, Mark Podolskij
Published in: arXiv, 2022
Publisher: arXiv

Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime

Author(s): Chiara Amorino and Arnaud Gloter
Published in: arXiv, 2022
Publisher: arXiv
DOI: 10.48550/arxiv.2208.03253

Semiparametric estimation of McKean-Vlasov SDEs

Author(s): Belomestny, Denis; Pilipauskaitė, Vytautė; Podolskij, Mark
Published in: Issue 1, 2021
Publisher: arxiv

High-dimensional estimation of quadratic variation based on penalized realized variance

Author(s): Kim Christensen, Mikkel Slot Nielsen and Mark Podolskij
Published in: arxiv, 2021
Publisher: arxiv

Multiple collisions of eigenvalues and singular values of matrix Gaussian field

Author(s): Wangjun Yuan
Published in: Arxiv, 2024
Publisher: Arxiv

Quantitative and stable limits of high-frequency statistics of Levy processes: a Stein's method approach

Author(s): Chiara Amorino, Arturo Jaramillo, and Mark Podolskij
Published in: arXiv, 2023
Publisher: arXiv
DOI: 10.48550/arxiv.2302.05885

Minimax rate for multivariate data under componentwise local differential privacy constraints

Author(s): Chiara Amorino and Arnaud Gloter
Published in: arXiv, 2023
Publisher: arXiv
DOI: 10.48550/arxiv.2305.10416

Stochastic partial differential equations associated with Feller processes

Author(s): Jian Song, Meng Wang, Wangjun Yuan
Published in: Arxiv, 2023
Publisher: Arxiv

Consistent support recovery for high-dimensional diffusions

Author(s): Dmytro Marushkevych, Francisco Pina, Mark Podolskij
Published in: Arxiv, 2025
Publisher: Arxiv

Scaling limits of linear random fields on Z2 with general dependence axis

Author(s): Vytautė Pilipauskaitė, Donatas Surgailis
Published in: arXiv, 2022
Publisher: arXiv

On nonparametric estimation of the interaction function in particle system models

Author(s): Denis Belomestny, Mark Podolskij, Shi-Yuan Zhou
Published in: Arxiv, 2024
Publisher: Arxiv

Minimax rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes

Author(s): Amorino, Chiara
Published in: arxiv, 2020
Publisher: arxiv

Local scaling limits of Lévy driven fractional random fields

Author(s): Vytautė Pilipauskaitė, Donatas Surgailis
Published in: arXiv, 2022
Publisher: arXiv

Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes

Author(s): Chiara Amorino, Francisco Pina, Mark Podolskij
Published in: Arxiv, 2024
Publisher: Arxiv

Thesis and dissertations (2)

Limit theorems for high-frequency data: from semimartingales to ambit fields

Author(s): Nicolas Lengert
Published in: 2024
Publisher: UL

Non-parametric Inference for Stochastic Particle Systems

Author(s): Shi-Yuan Zhou
Published in: 2024
Publisher: UL