| Publication | Date of Publication | Type |
|---|
Corrigendum to: ``Simulation of multivariate diffusion bridges
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2020-12-07 | Paper |
Simulation of Multivariate Diffusion Bridges
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Simulation of Multivariate Diffusion Bridges
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
On the size distribution of sand
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2014-05-05 | Paper |
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2014-05-05 | Paper |
A transformation approach to modelling multi-modal diffusions
Journal of Statistical Planning and Inference | 2014-01-23 | Paper |
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Bernoulli | 2013-05-30 | Paper |
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Bernoulli | 2013-05-30 | Paper |
| Estimating functions for diffusion-type processes | 2013-04-03 | Paper |
Prediction-based estimating functions: review and new developments
Brazilian Journal of Probability and Statistics | 2011-10-25 | Paper |
Maximum likelihood estimation for integrated diffusion processes
Contemporary Quantitative Finance | 2011-05-31 | Paper |
A simple estimator for discrete-time samples from affine stochastic delay differential equations
Statistical Inference for Stochastic Processes | 2011-04-08 | Paper |
Parametric Inference for Discretely Sampled Stochastic Differential Equations
Handbook of Financial Time Series | 2009-11-27 | Paper |
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
Scandinavian Journal of Statistics | 2009-08-08 | Paper |
Estimation for stochastic differential equations with a small diffusion coefficient
Stochastic Processes and their Applications | 2009-04-02 | Paper |
Statistical Inference for Discretely Observed Markov Jump Processes
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-09-01 | Paper |
Diffusion-type models with given marginal distribution and autocorrelation function
Bernoulli | 2005-06-23 | Paper |
On time-reversibility and estimating functions for Markov processes
Statistical Inference for Stochastic Processes | 2005-06-20 | Paper |
Inference for Observations of Integrated Diffusion Processes
Scandinavian Journal of Statistics | 2005-05-20 | Paper |
Estimation for discretely observed diffusions using transform functions
Journal of Applied Probability | 2004-10-25 | Paper |
Small-diffusion asymptotics for discretely sampled stochastic differential equations
Bernoulli | 2004-06-10 | Paper |
Prediction-based estimating functions
The Econometrics Journal | 2002-11-28 | Paper |
Stock returns and hyperbolic distributions
Mathematical and Computer Modelling | 2002-10-06 | Paper |
On asymptotics of estimating functions
Brazilian Journal of Probability and Statistics | 2002-04-07 | Paper |
Estimating equations based on eigenfunctions for a discretely observed diffusion process
Bernoulli | 2002-03-06 | Paper |
Simplified estimating functions for diffusion models with a high-dimensional parameter
Scandinavian Journal of Statistics | 2001-07-11 | Paper |
A note on limit theorems for multivariate martingales
Bernoulli | 2000-09-04 | Paper |
Some stationary processes in discrete and continuous time
Advances in Applied Probability | 2000-01-31 | Paper |
On Comparison of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes
Scandinavian Journal of Statistics | 1999-03-14 | Paper |
| scientific article; zbMATH DE number 1215449 (Why is no real title available?) | 1998-10-26 | Paper |
| scientific article; zbMATH DE number 1165661 (Why is no real title available?) | 1998-06-14 | Paper |
On exponential families of Markov processes
Journal of Statistical Planning and Inference | 1998-02-09 | Paper |
A hyperbolic diffusion model for stock prices
Finance and Stochastics | 1997-10-05 | Paper |
Information quantities in non-classical settings
Computational Statistics and Data Analysis | 1997-09-23 | Paper |
Exponential families of stochastic processes
Springer Series in Statistics | 1997-08-19 | Paper |
On effects of discretization on estimators of drift parameters for diffusion processes
Journal of Applied Probability | 1997-05-04 | Paper |
Exponential families of stochastic processes and Lévy processes
Journal of Statistical Planning and Inference | 1997-01-05 | Paper |
Curved exponential families of stochastic processes and their envelope families
Annals of the Institute of Statistical Mathematics | 1996-12-01 | Paper |
A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
International Statistical Review / Revue Internationale de Statistique | 1996-01-02 | Paper |
| scientific article; zbMATH DE number 1069541 (Why is no real title available?) | 1996-01-01 | Paper |
Martingale estimation functions for discretely observed diffusion processes
Bernoulli | 1995-12-12 | Paper |
| scientific article; zbMATH DE number 720754 (Why is no real title available?) | 1995-03-20 | Paper |
| scientific article; zbMATH DE number 572270 (Why is no real title available?) | 1994-06-28 | Paper |
Stochastic Models of Sand Transport by Wind and Two Related Estimation Problems
International Statistical Review / Revue Internationale de Statistique | 1993-12-12 | Paper |
| scientific article; zbMATH DE number 4213277 (Why is no real title available?) | 1991-01-01 | Paper |
On quasi likelihood for semimartingales
Stochastic Processes and their Applications | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4123097 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4197202 (Why is no real title available?) | 1989-01-01 | Paper |
Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
International Statistical Review / Revue Internationale de Statistique | 1989-01-01 | Paper |
On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
International Statistical Review / Revue Internationale de Statistique | 1986-01-01 | Paper |
Classes of diffusion-type processes with a sufficient reduction
Statistics | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3947490 (Why is no real title available?) | 1985-01-01 | Paper |
On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
International Statistical Review / Revue Internationale de Statistique | 1983-01-01 | Paper |
Normal Variance-Mean Mixtures and z Distributions
International Statistical Review / Revue Internationale de Statistique | 1982-01-01 | Paper |
