Number of documents

31

Arnaud Gloter


Journal articles16 documents

  • Emmanuelle Clément, Arnaud Gloter, Huong Nguyen. Lamn property for the drift and volatility parameters of a SDE driven by a stable LEVY process. ESAIM: Probability and Statistics, EDP Sciences, 2019, 23, pp.136-175. ⟨10.1051/ps/2018007 ⟩. ⟨hal-01703970⟩
  • 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, pp.2316-2352. ⟨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. ⟨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, 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⟩
  • 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, 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⟩
  • 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, Institute Henri Poincaré, 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩. ⟨hal-00159317⟩
  • 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. 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. 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, ...15 documents

  • Chiara Amorino, Arnaud Gloter. Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. 2019. ⟨hal-02331156⟩
  • Emmanuelle Clément, Arnaud Gloter. Joint estimation for SDE driven by locally stable Lévy processes. 2019. ⟨hal-02125428⟩
  • Chiara Amorino, Arnaud Gloter. Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes. 2019. ⟨hal-02104235⟩
  • Chiara Amorino, Arnaud Gloter. Contrast function estimation for the drift parameter of ergodic jump diffusion process. 2019. ⟨hal-01842514v2⟩
  • 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. Estimating functions for SDE driven by stable Lévy processes. 2018. ⟨hal-01570175v2⟩
  • 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⟩
  • Arnaud Gloter, Dasha Loukianova, Hilmar Mai. Jump filtering and efficient drift estimation for lévy-driven sde's. 2016. ⟨hal-01287823v3⟩
  • 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, 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⟩
  • Arnaud Gloter, Miguel Martinez. Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time. 2011. ⟨hal-00559228⟩
  • Emmanuelle Clement, Sylvain Delattre, Arnaud Gloter. Optimality properties in estimating jumps. 2011. ⟨hal-00609983⟩