Jakub Chorowski - Research and Publications
Research interests:
- Stochastic Analysis
- Nonparametric Statistics
- Statistics for stochastic processes
- Spectral estimation
Preprints:
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Nonparametric volatility estimation in scalar diffusions: Optimality across observation frequencies
submitted (2016), arXiv: 1507.07139,
Publications:
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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
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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:
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.