Cover Image

Parameter Estimation in Nonlinear Multivariate Stochastic Differential Equations Based on Splitting Schemes

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Pilipovic, Predrag, Samson, Adeline, Ditlevsen, Susanne
Format:	Preprint
Published:	2022
Subjects:	Methodology Statistics Theory 62F12, 62H12, 62M99, 37M15, 60G65
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Strang splitting estimator for nonlinear multivariate stochastic differential equations with Pearson-type multiplicative noise
by: Pilipović, Predrag, et al.
Published: (2026)

Vertex misalignment and changepoint localization in network time series
by: Chen, Tianyi, et al.
Published: (2026)

Multivariate Low-Rank State-Space Model with SPDE Approach for High-Dimensional Data
by: Rodeschini, Jacopo, et al.
Published: (2025)

Reduced-Rank Autoregressive Model for High-Dimensional Multivariate Network Time Series
by: Lyu, Qi, et al.
Published: (2026)

Bivariate generalized autoregressive models for forecasting bivariate non-Gaussian times series
by: Ribeiro, Tatiane Fontana, et al.
Published: (2025)

Tensor Time Series Imputation through Tensor Factor Modelling
by: Cen, Zetai, et al.
Published: (2024)

Matrix-valued Factor Model with Time-varying Main Effects
by: Lam, Clifford, et al.
Published: (2024)

Sparsity of the Main Effect Matrix Factor Model
by: Cen, Zetai, et al.
Published: (2025)

Regularized Estimation of Sparse Spectral Precision Matrices
by: Deb, Navonil, et al.
Published: (2024)

Clustering Multivariate Time Series using Energy Distance
by: Davis, Richard A., et al.
Published: (2023)

Sparse Estimation for High-Dimensional Lévy-driven Ornstein--Uhlenbeck Processes from Discrete Observations
by: Dexheimer, Niklas, et al.
Published: (2026)

Low-Rank and Sparse Drift Estimation for High-Dimensional Lévy-Driven Ornstein--Uhlenbeck Processes
by: Palaisti, Marina
Published: (2026)

Asymptotic expansion of the drift estimator for the fractional Ornstein-Uhlenbeck process
by: Tudor, Ciprian A., et al.
Published: (2024)

A Novel Multiple Imputation Approach For Parameter Estimation in Observation-Driven Time Series Models With Missing Data
by: Pumi, Guilherme, et al.
Published: (2026)

Parametric generalized spectrum for heavy-tailed time series
by: Goto, Yuichi, et al.
Published: (2026)

On stable central limit theorems for multivariate discrete-time martingales
by: Häusler, Erich, et al.
Published: (2024)

Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities
by: Bibinger, Markus, et al.
Published: (2022)

Confidence Intervals for Extinction Risk: Validating Population Viability Analysis with Limited Data
by: Hakoyama, Hiroshi
Published: (2025)

A test for counting sequences of integer-valued autoregressive models
by: Goto, Yuichi, et al.
Published: (2023)

Estimation of the generalized Laplace distribution and its projection onto the circle
by: Geraci, Marco
Published: (2025)

Parameter Estimation for Partially Observed Affine and Polynomial Processes
by: Kallsen, Jan, et al.
Published: (2025)

Depth Patterns and their Applications in Animal Tracking
by: Betken, Annika, et al.
Published: (2024)

A Matsuoka-Based GARMA Model for Hydrological Forecasting: Theory, Estimation, and Applications
by: Pumi, Guilherme, et al.
Published: (2025)

Moderation effects and elasticities in compositional regression with a total. Application to Bayesian spatiotemporal modelling of all-cause mortality from environmental stressors
by: Coenders, Germà, et al.
Published: (2025)

Bayesian Analysis of Spiked Covariance Models: Correcting Eigenvalue Bias and Determining the Number of Spikes
by: Lee, Kwangmin, et al.
Published: (2024)

Asynchronous Distributed ECME Algorithm for Matrix Variate Non-Gaussian Responses
by: Liu, Qingyang, et al.
Published: (2025)

Estimation of several parameters in discretely-observed Stochastic Differential Equations with additive fractional noise
by: Haress, El Mehdi, et al.
Published: (2023)

Estimating the hyperuniformity exponent of point processes
by: Mastrilli, Gabriel, et al.
Published: (2024)

A robust and scalable estimation for high-dimensional volatility models
by: Chen, Kejun, et al.
Published: (2025)

Omnibus goodness-of-fit tests for univariate continuous distributions based on trigonometric moments
by: Desgagné, Alain, et al.
Published: (2025)

On the spherical cardioid distribution and its goodness-of-fit
by: García-Portugués, Eduardo
Published: (2026)

Optimal linear prediction with functional observations: Why you can use a simple post-dimension reduction estimator
by: Seo, Won-Ki
Published: (2024)

Estimating order scale parameters of two scale mixture of exponential distributions
by: Mondal, Somnath, et al.
Published: (2025)

Parameter Estimation in Stochastic Differential Equations via Wiener Chaos Expansion and Stochastic Gradient Descent
by: Delgado-Vences, Francisco, et al.
Published: (2026)

Functional worst risk minimization
by: Kennerberg, Philip, et al.
Published: (2024)

Unit-Weibull Autoregressive Moving Average Models
by: Pumi, Guilherme, et al.
Published: (2022)

Graphical lasso for extremes
by: Wan, Phyllis, et al.
Published: (2023)

High-dimensional variable clustering based on maxima of a weakly dependent random process
by: Boulin, Alexis, et al.
Published: (2023)

Estimators for multivariate allometric regression model
by: Tsukuda, Koji, et al.
Published: (2024)

Eigenstructure inference for high-dimensional covariance with generalized shrinkage inverse-Wishart prior
by: Kim, Seongmin, et al.
Published: (2025)