M
Mathias Trabs
Researcher at University of Hamburg
Publications - 49
Citations - 522
Mathias Trabs is an academic researcher from University of Hamburg. The author has contributed to research in topics: Estimator & Central limit theorem. The author has an hindex of 12, co-authored 46 publications receiving 411 citations. Previous affiliations of Mathias Trabs include Paris Dauphine University & Humboldt University of Berlin.
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Volatility estimation for stochastic PDEs using high-frequency observations
Markus Bibinger,Mathias Trabs +1 more
TL;DR: In this paper, the authors study the parameter estimation for parabolic, linear, second-order, stochastic partial differential equations (SPDEs) observing a mild solution on a discrete grid in time and space.
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Calibration of self-decomposable Lévy models
TL;DR: In this article, the nonparametric calibration of exponential Levy models with infinite jump activity was studied and the convergence rates were derived for self-decomposable processes whose jump density can be characterized by the $k$-function, which is typically nonsmooth at zero.
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Rough differential equations driven by signals in Besov spaces
David J. Prömel,Mathias Trabs +1 more
TL;DR: In this article, the paracontrolled distribution approach, which has been introduced by Gubinelli, Imkeller and Perkowski [24] to analyze singular stochastic PDEs, is extended from Holder to Besov spaces.
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Adaptive quantile estimation in deconvolution with unknown error distribution
TL;DR: In this article, the authors proposed a plug-in method based on a deconvolution density estimator, which is minimax optimal under minimal and natural conditions, and obtained optimal adaptive estimation by a data-driven bandwidth choice.
Journal ArticleDOI
Volatility estimation for stochastic PDEs using high-frequency observations
Markus Bibinger,Mathias Trabs +1 more
TL;DR: In this paper, the authors study the parameter estimation for parabolic, linear, second-order, stochastic partial differential equations (SPDEs) observing a mild solution on a discrete grid in time and space.