Nicolas Marie is an associate professor in the Modal’X department at Paris Nanterre University. He received his PhD in probability in 2012, and his habilitation in statistics and probability in 2019. First, in the rough paths theory framework, he focused on constrained fractional diffusions. Then, since 2017, Nicolas Marie contributes to investigate the copies-based statistical inference for diffusions and fractional diffusions.
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From Nonparametric Regression to Statistical Inference for Non-Ergodic Diffusion Processes
Nicolas Marie
This book is about copies-based nonparametric estimation of the drift function in stochastic differential equations (SDEs) driven by Brownian motion, a jump process, or fractional Brownian motion. While the estimators of the drift function in SDEs are classically computed from one long-time observation of the ergodic stationary solution, here the estimation framework – which is part of functional data analysis – involves multiple copies of the (non-stationary) solution observed over...
