VU AmsterdamFaculty of sciences

  Faculty of sciences Vrije Universiteit Amsterdam


Publications

Preprints


  • Shota Gugushvili and Peter Spreij. Parametric inference for stochastic differential equations: a smooth and match approach. arXiv:1111.1120 [math.ST], 2011.

  • Bert van Es and Shota Gugushvili. Some thoughts on the asymptotics of the deconvolution kernel density estimator. arXiv:0801.2600 [stat.ME], 2008.

  • Shota Gugushvili. Decompounding under Gaussian noise. arXiv:0711.0719 [math.ST], 2007.

Papers


  • Shota Gugushvili and Chris A.J. Klaassen. √n-consistent parameter estimation for systems of ordinary differential equations: bypassing numerical integration via smoothing. arXiv:1007.3880 [math.ST], 2011. To appear in Bernoulli.

  • Shota Gugushvili. Nonparametric inference for discretely sampled Lévy processes. Ann. Inst. Henri Poincaré Probab. Stat., 48:282–307, 2012.

  • Shota Gugushvili, Bert van Es and Peter Spreij. Deconvolution for an atomic distribution: rates of convergence. J. Nonparametr. Stat., 23:1003-1029, 2011.

  • Bert van Es and Shota Gugushvili. Asymptotic normality of the deconvolution kernel density estimator under the vanishing error variance. J. Korean Statist. Soc., 39:102-115, 2010.

  • Shota Gugushvili. Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process. J. Nonparametr. Stat., 21:321-343, 2009.

  • Bert van Es and Shota Gugushvili. Weak convergence of the supremum distance for supersmooth kernel deconvolution. Statist. Probab. Lett., 78:2932-2938, 2008.

  • Bert van Es, Shota Gugushvili and Peter Spreij. Deconvolution for an atomic distribution. Electron. J. Stat., 2:265-297, 2008.

  • Bert van Es, Shota Gugushvili and Peter Spreij. A kernel type nonparametric density estimator for decompounding. Bernoulli, 13:672-694, 2007.

  • Shota Gugushvili. Dynamic programming and mean-variance hedging in discrete time. Georgian Math. J., 10:237-246, 2003.

PhD thesis


  • Shota Gugushvili. Nonparametric Inference for Partially Observed Lévy Processes, xii+100 pp., Universiteit van Amsterdam, Amsterdam, 2008.

Edited volumes


  • Shota Gugushvili, Chris Klaassen and Peter Spreij (editors). Statistical Inference for Lévy Processes with Applications to Finance. Stat. Neerl., 64(3), 2010.