Statistics for stochastic processes is rapidly developing. It forms a branch of mathematical
sciences, spreading over theoretical statistics, probability theory, software development and …

Sibly et al. described that most species have a fundamental characteristic to follow the theta-
logistic growth trait with the convex downward trend. The fundamental yardstick of this …

In this paper we introduce a new model, named CARMA (p, q)-Hawkes, as the Hawkes
model with exponential kernel implies a strictly decreasing behavior of the autocorrelation …

This paper deals with the nonparametric estimation of the expectile regression when the
observations are spatially correlated and are of a functional nature. The main findings of this …

We study inference for the driving Lévy noise of an ergodic stochastic differential equation
(SDE) model, when the process is observed at high-frequency and long time and when the …

In this paper we show how to approximate the transition density of a CARMA (p, q) model
driven by a time-changed Brownian motion based on the Gauss--Laguerre quadrature. This …

The aim of this chapter is to use volatility data, obtained from Continuous GARCH process,
in the ARDL Bounds testing approach. For this purpose, the volatility of financial data is …

We advocate the use of an Indirect Inference method to estimate the parameter of a
COGARCH (1, 1) process for equally spaced observations. This requires that the true model …

In this article, we construct a sequence of discrete‐time stochastic processes that converges
in the Skorokhod metric to a COGARCH (p, q) model. The result is useful for the estimation …

In this paper we consider a portfolio selection problem defined for irregularly spaced
observations. We use the Independent Component Analysis for the identification of the …