Mark Podolskij
Université du Luxembourg
H-index: 30
Europe-Luxembourg
Top articles of Mark Podolskij
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
On nonparametric estimation of the interaction function in particle system models | arXiv preprint arXiv:2402.14419 | Denis Belomestny Mark Podolskij Shi-Yuan Zhou | 2024/2/22 |
Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process | Modern Stochastics: Theory and Applications | Chiara Amorino Arturo Jaramillo Mark Podolskij | 2024/2/6 |
Book review: How to Cheat with Statistics–and Get Away with It, by Gunter Meissner, World Scientific (2022), Hardback. ISBN 978-9811252488 | Mark Podolskij | 2024/1/2 | |
Limit theorems for general functionals of Brownian local times | arXiv preprint arXiv:2311.01251 | Simon Campese Nicolas Lengert Mark Podolskij | 2023/11/2 |
Quantitative and stable limits of high-frequency statistics of L\'evy processes: a Stein's method approach | arXiv preprint arXiv:2302.05885 | Chiara Amorino Arturo Jaramillo Mark Podolskij | 2023/2/12 |
Estimation of mixed fractional stable processes using high-frequency data | The Annals of Statistics | Fabian Mies Mark Podolskij | 2023/10 |
Semiparametric estimation of McKean–Vlasov SDEs | Annales de l'Institut Henri Poincare (B) Probabilites et statistiques | Denis Belomestny Vytautė Pilipauskaitė Mark Podolskij | 2023/2 |
Parameter estimation of discretely observed interacting particle systems | Stochastic Processes and their Applications | Chiara Amorino Akram Heidari Vytautė Pilipauskaitė Mark Podolskij | 2023/9/1 |
High-dimensional estimation of quadratic variation based on penalized realized variance | Statistical Inference for Stochastic Processes | Kim Christensen Mikkel Slot Nielsen Mark Podolskij | 2023/7 |
Asymptotic theory for quadratic variation of harmonizable fractional stable processes | arXiv preprint arXiv:2302.14034 | Andreas Basse-O'Connor Mark Podolskij | 2023/2/27 |
Optimal estimation of the supremum and occupation times of a self-similar Lévy process | Electronic Journal of Statistics | Jevgenijs Ivanovs Mark Podolskij | 2022 |
Optimal estimation of local time and occupation time measure for an↵-stable Lévy process | Chiara Amorino Arturo Jaramillo Mark Podolskij | 2022/10/14 | |
On Lasso estimator for the drift function in diffusion models | arXiv preprint arXiv:2209.05974 | Gabriela Ciolek Dmytro Marushkevych Mark Podolskij | 2022/9/13 |
Multidimensional parameter estimation of heavy‐tailed moving averages | Scandinavian Journal of Statistics | Mathias Mørck Ljungdahl Mark Podolskij | 2022/6 |
On estimation of quadratic variation for multivariate pure jump semimartingales | Stochastic Processes and their Applications | Johannes Heiny Mark Podolskij | 2021/8/1 |
Power variations for fractional type infinitely divisible random fields | Andreas Basse-O’Connor Vytautė Pilipauskaitė Mark Podolskij | 2021 | |
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions | ESAIM: Probability and Statistics | Andreas Basse-O’Connor Thorbjørn Grønbæk Mark Podolskij | 2021 |
Multi-dimensional parameter estimation of heavy-tailed moving averages | arXiv e-prints | Mathias Mørck Ljungdahl Mark Podolskij | 2020/7 |
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model | Gabriela Ciołek Dmytro Marushkevych Mark Podolskij | 2020/1/1 | |
A minimal contrast estimator for the linear fractional stable motion | Statistical Inference for Stochastic Processes | Mathias Mørck Ljungdahl Mark Podolskij | 2020/7 |
Co-Authors
