2023 :
Parametric inference for ergodic McKean-Vlasov stochastic differential equations (2023).V. Genon-Catalot, C. Larédo, A paraître dans Bernoulli.
Inference for ergodic McKean-vlasov stochastic differential equations with polynomial interactions. V. Genon-Catalot, C. Larédo. A paraître dans Annales de l’Institut Henri Poincaré.
Nonparametric adaptive estimation for interacting particle systems. 2023. F. Comte, V. Genon-Catalot. À paraître dans Scandinavian Journal of Statistics.
2021 :
Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models. 2021. V. Genon-Catalot, C. Larédo. Electronic Journal of Statistics, 15, 5811-5854.
Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. (2021). V. Genon-Catalot, C. Larédo. Stochastic processes and their applications, 142, 513-548.
Kernel estimation for Lévy driven stochastic convolutions. (2021) F. Comte, V. Genon-Catalot. Statistics and Risk modelling, 28, 1-2, 1-24.
Non parametric estimation for i.i.d. Gaussian continuous time moving average models (2021). F. Comte, V. Genon-Catalot. Statistical inference for stochastic processes, 24, 149-177.
Nonparametric drift estimation for i.i.d. paths of stochastic differential equations, 2020. F. Comte , V. Genon-Catalot. Annals of Statistics, 48, 3336-3365..
Regression function estimation on non compact support in an heteroskedastic model (2020). F. Comte, V. Genon-Catalot. Metrika, 83, 93-128.
Drift estimation on non compact support for diffusion models, 2020, F. Comte, V. Genon-Catalot. Stochastic processes and their Applications, 134, 174-207.
2019 :
Regression function as a partly inverse problem (2019). F. Comte, V. Genon-Catalot. Ann. Inst. Stat. Math., 72, 1023-1054.
Sobolev-Hermite versus Sobolev nonparametric density estimation on R (2019). D. Belomestny, F. Comte, V. Genon-Catalot. Ann. Inst. Stat. Math, 71(1), 29-62.
Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion (2018). M. Delattre, V. Genon-Catalot, C. Larédo. Metrika. 81, 8, 953-983.
2017 :
Correction to : Nonparametric Laguerre estimation in the multiplicative censoring model (2017). D. Belomestny, F. Comte, V. Genon-Catalot. Electronic Journal of Statistics, volume 11, 4845-4850.
2016 :
Nonparametric Laguerre estimation in the multiplicative censoring model. (2016). D. Belomestny, F. Comte, V. Genon-Catalot. Electronic Journal of Statistics, volume 10, 3114-3152.
Mixtures of stochastic differential equations with random effects: application to data clustering. (2016) M. Delattre, V. Genon-Catalot, A. Samson. Journal of Statistical planning and inference, volume 173, 109-124.
Non parametric density and survival function estimation in the multiplicative sensoring model (2016), E. Brunel, F. Comte, V. Genon-Catalot. Test, volume 25, (3), 570-590.
Bidimensional random effect estimation in mixed stochastic differential model (2016), C. Dion, V. Genon-Catalot. Statistical Inference for Stochastic processes, volume 19,(2)) 131-158.
Estimation for stochastic differential equations with mixed effects (2016), V. Genon-Catalot, C. Larédo. Statistics, volume 50,(5), 1014-1035.
2015 :
Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient, (2015) M. Delattre, V. Genon-Catalot, A. Samson. ESAIM P & S, volume 19, 671-688.
Estimation of the jump size density in a mixed compound Poisson process, (2015) F. Comte, C. Duval, V. Genon-Catalot, J. Kappus. Scandinavian Journal of Statistics. volume 42, 1023-1044.
Adaptive Laguerre density estimation for mixed Poisson models (2015). F. Comte, V. Genon-Catalot. Electronic Journal of Statistics, volume 9, 1112-1148.
Discussion on the paper ''Hypothesis testing by convex optimization'' by A. Goldenschluger, A. Juditsky, A. Nemirovsky,(2015). F. Comte, V. Genon-Catalot. Electronic Journal of Statistics, volume 9, 1738-1743.
2014 :
Asymptotic equivalence for nonparametric diffusion and Euler scheme experiments, V. Genon-Catalot, C. Larédo (2014), Ann. Statist., 42, 1145-1165.
Nonparametric density estimation in compound Poisson process using convolution power estimators, F. Comte, C. Duval and V. Genon-Catalot, 2014, Metrika 77, 163-183.
2013 :
Nonparametric estimation for stochastic differential equations with random effects, F. Comte, V. Genon-Catalot, A. Samson, 2013, Stoch. Proc. Appl. 123, 2522-2551.
2012 :
Maximum likelihood estimation for stochastic differential equations with random effects, M. Delattre, V. Genon-Catalot, A. Samson, 2012, Scand. J. Statist., 40, 322-343.
Convolution power kernel estimators for density estimation, F. Comte, V. Genon-Catalot, 2012, Journal of Stat. Planning and Inference 142 (7), 1698-1715. (version longue : Density estimation for non negative random variables, F. Comte, V. Genon-Catalot, (2011), Prépublication MAP5 2011-6.)
2011 :
Parameter estimation and change-point detection from dynamic contrast enhanced MRI using stochastic differential equations, C.H. Cuenod, B. Favetto, V. Genon-Catalot, Y. Rozenholc, A. Samson (2011), Mathematical Biosciences (233), 68-76.
Estimation for Lévy processes from high frequency data within a long time interval, F. Comte, V. Genon-Catalot, 2011, Annals of Statistics, volume 39, 2,803-837.
Multiplicative Kalman filtering, F. Comte, V. Genon-Catalot, M. Kessler, 2011, Tests (20), 389-411.
2010 :
Nonparametric estimation for pure jump irregularly sampled or noisy Lévy processes, F. Comte, V. Genon-Catalot, 2010, Statistica Neerlandica, volume 64, 3, 290-313.
Nonparametric adaptive estimation for pure jump Lévy processes, F. Comte, V. Genon-Catalot, 2010, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, volume 46, 3, 595-617.
Nonparametric estimation of a stochastic volatility model, F. Comte, V. Genon-Catalot, Y. Rozenholc, Finance and Stochastics, 2010, volume 14, 49-80.
2009 :
Nonparametric adaptive estimation for pure jump Lévy processes from high frequency data, F. Comte, V. Genon-Catalot, Stochastic Processes and their Applications (2009), volume 12, 4088-4123.
Filtering the Wright-fisher diffusion, M. Chaleyat-Maurel, V. Genon-Catalot, ESAIM P & S, 2009, Volume 13, 197-217.
Nonparametric adaptive estimation for integrated diffusions, F. Comte, V. Genon-Catalot, Y. Rozenholc, Stoch. proc. Appl. 119 (2009), 811-834.
2007 :
Penalized nonparametric mean square estimation of the coefficients of diffusion processes, F. Comte, V. Genon-Catalot, Y. Rozenholc, 2007, Bernoulli 13 (2), 513-543.
2006 :
Discussion sur "Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes" (by A Beskos, O. Papaspiliopoulos, G. Roberts, P. Farnhead, ), V. Genon-Catalot, Journal of the Royal Statistical Society Series, 2006, B 68 333-382.
Penalized projection estimator for volatility density, F. Comte, V. Genon-Catalot, Scand. J. Statist., 2006, Vol. 33, n°4, 875-895.
Computable infinite dimensional filters with applications to discretized diffusions, M. Chaleyat-Maurel, V. Genon-Catalot, Stoch. Proc. and Applic., 2006, 116, 1447-146 ;
Leroux's method for general hidden Markov models, V. Genon-Catalot, C. Laredo, 2006, Stoch.Proc. and Applic.116, 222-243.
2004 : Random scale pertubation of an AR(1)-process and its properties as a non linear explicit filter. V. Genon-Catalot, M. Kessler, 2004, Bernoulli 10(4), 701-720.
2003 :
A non linear explicit filter, V. Genon-Catalot, Statist. and Prob. letters, 61 (2003) 145-154.
Conditional likelihood estimators for hidden Markov models and stochastic volatility models, V. Genon-Catalot, T. Jeantheau, C. Laredo, Scand. J. Statist. 2003 vol. 30, No 2 297-316.
2002 :
Asymptotic equivalence of Poisson intensity and diffusion drift estimation, V. Genon-Catalot, C. Laredo , M. Nussbaum, Ann. Statist. 2002. Vol. 30. No 3. 731-753. (Numéro spécial à la mémoire de Lucien le Cam)
2001:
Discussion sur "Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics" (O. Barndorff-Nielsen, N. Shephard), V. Genon-Catalot, C. Laredo, J. R. Statist. Soc. B (2001) 63 part. 2 167-241.
2000 : Stochastic volatility models as hidden Markov models, V. Genon-Catalot, T. Jeantheau, C. Laredo, ( Bernoulli, 6(6), 2000, 1051-1079).
1999 : Parameter estimation for discretely observed stochastic volatility models, V. Genon-Catalot, T. Jeantheau, C. Laredo (Bernoulli, 5(5) , 1999, 855-872).
1998 : Limit theorems for discretely observed stochastic volatility models, V. Genon-Catalot, T. Jeantheau, C. Laredo (Bernoulli, 4(3), 1998, 283-303).
Estimation in a linear Gaussian yield curve model, V. Genon-Catalot, J.P. Laurent, 1998, Revue Finance, 19, (2), 41-69.
1994 : Estimation of the diffusion coefficient for diffusion processes : random sampling, V. Genon-Catalot, J. Jacod, Scandinavian Journal of Statistics, Vol. 21, 193-221,1994.
1993: On the estimation of the diffusion coefficient for multi-dimensional diffusion process, V. Genon-Catalot, J. Jacod, Annales de l'I.H.P., Vol.29, 1, 1993, 119-151.
1992 : Non parametric estimation of the variance of a diffusion by wavelets methods, V.Genon-Catalot, C. Laredo, D. Picard, Scandinavian Journal of Statistics, Vol.19, 4,317-335, 1992.
Detecting a change in distribution, a new asymptotic approach using averaging methods, O. de Cambry, V. Genon-Catalot, Statistics and Decisions 10, 1992, 389-403.
1990 : Maximum contrast estimation for diffusion processes from discrete observations, V. Genon-Catalot, 1990, Statistics 21, 1, 99-116.
An asymptotic sufficiency property of observations related to the first hitting times of a diffusion, V. Genon-Catalot, C. Laredo, 1990, Statistics and Probability letters, 9, 253-258.
1989 : First hitting times and positions of concentric spheres for testing the drift of a diffusion process, V. Genon-Catalot, 1989, Probability and Mathematical Statistics, Vol.10, Fasc. 1, 27-44.
1987 : Limit theorems for the first hitting times process of a diffusion and statistical applications, V. Genon-Catalot, C. Laredo, 1987, Scandinavian Journal of Statistics, 14, 143-160.
1986: Non parametric estimation for partially observed transient diffusion processes, V. Genon-Catalot, C. Laredo, 1986, Stochastics, Vol. 18, 169-186.
1977 : Comparaison des R.L.M. estimateurs, V. Costa (épouse Genon-Catalot), J. Deshayes, in Astérisque 43-44, Théorie de la robustesse et estimation d'un paramètre, p.209-238, 1977.