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Number of documents

36

Arnaud Gloter


Journal articles17 documents

  • Emmanuelle Clément, Arnaud Gloter. Joint estimation for SDE driven by locally stable Lévy processes. Electronic Journal of Statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2020, 14 (2), pp.2922-2956. ⟨10.1214/20-EJS1737⟩. ⟨hal-03164188⟩
  • Emmanuelle Clément, Arnaud Gloter. Estimating functions for SDE driven by stable Lévy processes. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institut Henri Poincaré (IHP), 2019, 55 (3), pp.1316-1348. ⟨10.1214/18-AIHP920⟩. ⟨hal-03164191⟩
  • Emmanuelle Clément, Arnaud Gloter, Huong Nguyen. Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process. ESAIM: Probability and Statistics, EDP Sciences, 2018, 22, pp.58-95. ⟨10.1051/ps/2018009⟩. ⟨hal-01772290⟩
  • Emmanuelle Clément, Arnaud Gloter. An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2017, 27 (4), pp.2419-2454. ⟨10.1214/16-AAP1263⟩. ⟨hal-01585830⟩
  • Emmanuelle Clément, Arnaud Gloter. Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable L\'evy processes. Stochastic Processes and their Applications, Elsevier, 2015, 123 (6), pp.2316-2352. ⟨10.1016/j.spa.2015.01.002⟩. ⟨hal-01141511⟩
  • Emmanuelle Clement, Sylvain Delattre, Arnaud Gloter. Asymptotic lower bounds in estimating jumps. Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2014, 20 (3), pp.1059-1096. ⟨10.3150/13-BEJ515⟩. ⟨hal-00795403⟩
  • Emmanuelle Clement, Sylvain Delattre, Arnaud Gloter. An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility. Stochastic Processes and their Applications, Elsevier, 2013, 123 (7), pp.2500-2521. ⟨hal-00719460⟩
  • Emmanuelle Clement, Arnaud Gloter. Weak limit theorem in the Fourier tranform method for the estimation of multivariate volatility. Stochastic Processes and their Applications, Elsevier, 2011, 121, pp.1097-1124. ⟨hal-00454494⟩
  • Arnaud Gloter, Marc Hoffmann. Nonparametric reconstruction of a multifractal function from noisy data. Probability Theory and Related Fields, Springer Verlag, 2010, 146 (1-2), pp.155--187. ⟨10.1007/s00440-008-0187-1⟩. ⟨hal-00693036⟩
  • Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann, J.-F. Muzy. Multifractal analysis in a mixed asymptotic framework. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2010, pp.1729-1760. ⟨10.1214/09-AAP670⟩. ⟨hal-00604467⟩
  • Arnaud Gloter, Michael S. Sorensen. Estimation for stochastic differential equations with a small diffusion coefficient. Stochastic Processes and their Applications, Elsevier, 2009, 119 (3), pp.679--699. ⟨10.1016/j.spa.2008.04.004⟩. ⟨hal-00693054⟩
  • Arnaud Gloter, Emmanuel Gobet. LAMN property for hidden processes: the case of integrated diffusions. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institut Henri Poincaré (IHP), 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩. ⟨hal-00159317⟩
  • Arnaud Gloter. Efficient estimation of drift parameters in stochastic volatility models. Finance and Stochastics, Springer Verlag (Germany), 2007, 11 (4), pp.495--519. ⟨10.1007/s00780-007-0048-2⟩. ⟨hal-00693087⟩
  • Arnaud Gloter, Marc Hoffmann. Estimation of the Hurst parameter from discrete noisy data. Annals of Statistics, Institute of Mathematical Statistics, 2007, 35 (5), pp.1947--1974. ⟨10.1214/009053607000000316⟩. ⟨hal-00693086⟩
  • Arnaud Gloter. Parameter Estimation for a Discretely Observed Integrated Diffusion Process. Scandinavian Journal of Statistics, Wiley, 2006, 33 (1), pp.83-104. ⟨hal-00404901⟩
  • Arnaud Gloter. Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. Statistics, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2001, 35 (3), pp.225--243. ⟨10.1080/02331880108802733⟩. ⟨hal-00693749⟩
  • Arnaud Gloter. Estimation of the volatility diffusion coefficient for a stochastic volatility model. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 2000, 330 (3), pp.243--248. ⟨10.1016/S0764-4442(00)00119-1⟩. ⟨hal-00693795⟩

Preprints, Working Papers, ...19 documents

  • Chiara Amorino, Charlotte Dion, Arnaud Gloter, Sarah Lemler. On the nonparametric inference of coefficients of self-exciting jump-diffusion. 2022. ⟨hal-03021151v3⟩
  • Chiara Amorino, Arnaud Gloter. Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes. 2020. ⟨hal-02104235v2⟩
  • Chiara Amorino, Arnaud Gloter. Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. 2020. ⟨hal-02331156v2⟩
  • Chiara Amorino, Arnaud Gloter. Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes. 2020. ⟨hal-02442374⟩
  • Arnaud Gloter, Nakahiro Yoshida. Adaptive and non-adaptive estimation for degenerate diffusion processes. 2020. ⟨hal-02488402⟩
  • Sylvain Delattre, Arnaud Gloter, Nakahiro Yoshida. RATE OF ESTIMATION FOR THE STATIONARY DISTRIBUTION OF STOCHASTIC DAMPING HAMILTONIAN SYSTEMS WITH CONTINUOUS OBSERVATIONS. 2020. ⟨hal-02455744⟩
  • Emmanuelle Clément, Arnaud Gloter. Joint estimation for SDE driven by locally stable Lévy processes. 2020. ⟨hal-02125428v2⟩
  • Chiara Amorino, Arnaud Gloter. Contrast function estimation for the drift parameter of ergodic jump diffusion process. 2019. ⟨hal-01842514v2⟩
  • Emmanuelle Clément, Arnaud Gloter. Estimating functions for SDE driven by stable Lévy processes. 2018. ⟨hal-01570175v2⟩
  • Arnaud Gloter, Igor Honoré, Dasha Loukianova. NON-ASYMPTOTIC CONCENTRATION INEQUALITY FOR AN APPROXIMATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION DRIVEN BY COMPOUND POISSON PROCESS. 2018. ⟨hal-01885479⟩
  • Emmanuelle Clément, Arnaud Gloter, Huong Nguyen. Asymptotics in small time for the density of a stochastic differential equation driven by a stable LEVY process. 2017. ⟨hal-01410989v2⟩
  • Emmanuelle Clément, Arnaud Gloter, Huong Nguyen. LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy Process. 2017. ⟨hal-01472749v2⟩
  • Emmanuelle Clément, Arnaud Gloter. An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient. 2016. ⟨hal-01167276v2⟩
  • Arnaud Gloter, Dasha Loukianova, Hilmar Mai. Jump filtering and efficient drift estimation for lévy-driven sde's. 2016. ⟨hal-01287823v3⟩
  • Arnaud Gloter, Miguel Martinez. Bouncing skew Brownian motions. 2015. ⟨hal-01223255⟩
  • Mikael Falconnet, Dasha Loukianova, Arnaud Gloter. Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment. 2014. ⟨hal-00990005⟩
  • Emmanuelle Clément, Arnaud Gloter. Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes. 2013. ⟨hal-00914138⟩
  • Emmanuelle Clement, Sylvain Delattre, Arnaud Gloter. Optimality properties in estimating jumps. 2011. ⟨hal-00609983⟩
  • Arnaud Gloter, Miguel Martinez. Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time. 2011. ⟨hal-00559228⟩