Statistics for Stochastic Processes

Statistics for Stochastic Processes is a Master course on statistics for diffusions and Lévy processes.
It covers continuous as well as high- and low-frequency observations. The focus is on nonparametric statistics.
It is a semester course with 2 hours lectures plus 1 hour exercise class over 16 weeks.

Jakob Söhl taught Statistics for Stochastic Processes as a nationwide Master course in the Netherlands in 2022.
Previously he taught this Master course at the Berlin Mathematical School in the Winter Semester 2020/21 and
as a nationwide Master course in the Netherlands in 2020.
He gave earlier versions of this course in 2015 and 2016 at the University of Cambridge.

Jakob Söhl wrote lecture notes for the course Statistics for Stochastic Processes.
In the exercise classes students solved the exercises from the Exercise Sheets.

For the second part of the course the book Lévy Matters IV is recommended.

As reference for stochastic calculus the lecture notes on Stochastic Calculus and Applications
by Nathanaël Berestycki are recommended.

Earlier versions of the lecture notes:
Statistics for Stochastic Processes 2020
Statistics for Stochastic Processes 2016
Statistics for Stochastic Processes 2015

Earlier versions of the exercises:
Exercise Sheets 2020
Example Sheet 2016, 1/2
Example Sheet 2016, 2/2


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