• 153 Citations
  • 7 h-Index
19972019
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Fingerprint Dive into the research topics where Nino Kordzakhia is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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Boundary Crossing Probability Mathematics
Pricing Mathematics
Piecewise Linear Approximation Mathematics
Fractional Brownian Motion Mathematics
Estimator Mathematics
Approximation Mathematics
Brownian motion Mathematics
Interest Rates Mathematics

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Projects 2007 2014

Research Outputs 1997 2019

  • 153 Citations
  • 7 h-Index
  • 16 Article
  • 6 Conference proceeding contribution
  • 3 Chapter

On the parameter estimation in the Schwartz-Smith's two-factor model

Binkowski, K., He, P., Kordzakhia, N. & Shevchenko, P., 2019, Statistics and data science: Research School on Statistics and Data Science, RSSDS 2019 Melbourne, VIC, Australia, July 24–26, 2019 proceedings. Nguyen, H. (ed.). Singapore: Springer, Springer Nature, p. 226-237 12 p. (Communications in Computer and Information Science; vol. 1150).

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Kalman filters
Parameter estimation
Maximum likelihood
Identification (control systems)
Costs

Estimation of cusp location of stochastic processes: a survey

Dachian, S., Kordzakhia, N., Kutoyants, Y. A. & Novikov, A., 1 Jul 2018, In : Statistical Inference for Stochastic Processes. 21, 2, p. 345-362 18 p.

Research output: Contribution to journalArticleResearchpeer-review

Cusp
Stochastic Processes
Change-point Model
Ergodic Processes
Log-likelihood Ratio

On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion

Kordzakhia, N. E., Kutoyants, Y. A., Novikov, A. A. & Hin, L. Y., 1 Aug 2018, In : Statistics and Probability Letters. 139, p. 141-151 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Bayesian Estimator
Limit Distribution
Fractional Brownian Motion
Maximum Likelihood Estimator
Statistical Model

Translation invariant statistical experiments with independent increments

Gushchin, A., Kordzakhia, N. & Novikov, A., 1 Jul 2018, In : Statistical Inference for Stochastic Processes. 21, 2, p. 363-383 21 p.

Research output: Contribution to journalArticleResearchpeer-review

Independent Increments
Comparison of Experiments
Invariant
Weak Convergence
Experiment

Approximations for weighted Kolmogorov–Smirnov distributions via boundary crossing probabilities

Kordzakhia, N., Novikov, A. & Ycart, B., Nov 2017, In : Statistics and Computing. 27, 6, p. 1513-1523 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
Boundary Crossing Probability
Kolmogorov-Smirnov
Boundary Crossing
Brownian Bridge
Brownian movement