This paper develops estimators of the transition density, filters, and parameters of multivariate jump-diffusions with latent components. The drift, volatility, jump intensity, and jump magnitude are allowed to be general functions of the state. Our density and filter estimators converge at the...

This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by Levy noise - called a trawl process - where the serial correlation and...

Graphical models have become a very popular tool for representing dependencies within a large set of variables and are key for representing causal structures. We provide results for uniform inference on high-dimensional graphical models with the number of target parameters d being possible much...