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Humboldt-Universität zu Berlin - Mathematisch-Naturwissenschaftliche Fakultät - Jakub Chorowski

Jakub Chorowski - Research and Publications

Research interests:

  • Stochastic Analysis
  • Nonparametric Statistics
  • Statistics for stochastic processes
  • Spectral estimation

 

Preprints:



  • Nonparametric volatility estimation in scalar diffusions: Optimality across observation frequencies

submitted (2016), arXiv: 1507.07139,

 

 

Publications:


  • Spectral estimation for diffusions with random sampling times

with M. Trabs (2016), Stochastic Processes and their Applications,

doi: 10.1016/j.spa.2016.03.009

 

  • Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions

with T. Byczkowski, P. Graczyk and J. Małecki (2012),

Colloqium Mathematicum, 129:145-171.

 

Source Code:


 

SpectralEstimation.7z

F# function library containing the implementation of nonparametric estimators of the diffusion coefficient based on spectral estimation method.

The source code should be run using F# Interactive. For more information about the use and installation of F# Interactive refer to msdn.microsoft.com/fsharp-interactive.