Conditional Quantile Sequential Estimation for Stochastic Codes
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Statistical Theory and Practice"
DOI: 10.1007/s42519-019-0053-8
Abstract: We propose and analyze an algorithm for the sequential estimation of a conditional quantile in the context of real stochastic codes with vectorvalued inputs. Our algorithm is based on k-nearest neighbors smoothing within a Robbins-Monro… read more here.
Keywords: conditional quantile; quantile sequential; sequential estimation; stochastic codes ... See more keywords
Multilevel Monte Carlo for noise estimation in stochastic multiscale systems
Sign Up to like & getrecommendations! Published in 2018 at "Chemical Engineering Research and Design"
DOI: 10.1016/j.cherd.2018.10.006
Abstract: Abstract The purpose of this study is to adapt Multilevel Monte Carlo (MLMC) sampling technique for random noise estimation in stochastic multiscale systems and evaluate the performance of this method. The system under consideration was… read more here.
Keywords: noise estimation; monte carlo; stochastic multiscale; estimation stochastic ... See more keywords
Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
Sign Up to like & getrecommendations! Published in 2017 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2017.03.011
Abstract: Abstract The paper considers a process Z t = ( X t , Y t ) where X t is the position of a particle and Y t its velocity, driven by a hypoelliptic bi-dimensional… read more here.
Keywords: stochastic damping; observation; damping hamiltonian; estimation stochastic ... See more keywords
Estimation of the stochastic leverage effect using the Fourier transform method
Sign Up to like & getrecommendations! Published in 2019 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2018.09.001
Abstract: We define a non-parametric estimator of the leverage effect by means of the covariance between the asset return and its volatility. The data are assumed to follow a stochastic volatility model driven by two continuous… read more here.
Keywords: effect using; leverage effect; stochastic leverage; leverage ... See more keywords