A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the...

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the...

We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics, related to the so called phi-divergence measures. By taking into account the quasi-likelihood approach developed for studying the...

We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties...

For a continuous-time Markov process, occasionally, only discrete-time observations are available. For a simple sample of homogeneous Markov jump processes with an absorbing state, observed each on a stochastic grid of time points, we establish asymptotic normality of the maximum likelihood...

A one dimensional diffusion process X={X_t, 0 <= t <= T}, with drift b(x) and diffusion coefficient s(theta, x)=sqrt(theta) s(x) known up to theta>0, is supposed to switch volatility regime at some point t* in (0,T). On the basis of discrete time observations from X, the problem is the one of estimating the instant of change in the volatility structure t* as well as the two values of theta, say...</=>

The telegraph process models a random motion with finite velocity and it is usually proposed as an alternative to diffusion models. The process describes the position of a particle moving on the real line, alternatively with constant velocity +v or -v. The changes of direction are governed by an...

A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$ is observed only when its path lies over some threshold $\tau$. On the basis of the observable part of the trajectory, the problem is to estimate finite dimensional parameter in both drift and diffusion coefficient under a discrete...

We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics related to the so called ϕ-divergence measures. It is proved that the test statistics in this family are all asymptotically distribution...