Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity (Q5880780): Difference between revisions

Latest revision as of 14:48, 31 July 2024

scientific article; zbMATH DE number 7659661

Language	Label	Description	Also known as
English	Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity	scientific article; zbMATH DE number 7659661

Statements

instance of

scholarly article

0 references

title

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity (English)

0 references

0 references

0 references

0 references

6 March 2023

0 references

full work available at URL

https://arxiv.org/abs/2203.01055

0 references

zbMATH Keywords

non-parametric estimation

0 references

stationary measure

0 references

discrete observation

0 references

convergence rate

0 references

ergodic diffusion

0 references

anisotropic density estimation

0 references

asynchronous framework

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Q4127741

0 references

Q4870177

0 references

Stochastic stability and control

0 references

Q4124657

0 references

Q4794126

0 references

Penalized nonparametric mean square estimation of the coefficients of diffusion processes

0 references

Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

0 references

Maximnm contrast estimation for diffusion processes from discrete observations

0 references

Nonparametric estimation of scalar diffusions based on low frequency data

0 references

Adaptive estimation in diffusion processes.

0 references

Estimation of an Ergodic Diffusion from Discrete Observations

0 references

A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process

0 references

Estimation for diffusion processes from discrete observation

0 references

An econometric analysis of nonsynchronous trading

0 references

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

0 references

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

0 references

On covariance estimation of non-synchronously observed diffusion processes

0 references

Concentration of scalar ergodic diffusions and some statistical implications

0 references

Nonparametric Identification for Diffusion Processes

0 references

Nonparametric statistics for stochastic processes. Estimation and prediction.

0 references

Q3866945

0 references

Efficient density estimation for ergodic diffusion processes

0 references

Q3645225

0 references

Statistical inference for ergodic diffusion processes.

0 references

Density estimation in a continuous-time stationary Markov process

0 references

Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes

0 references

Recursive computation of the invariant distribution of a diffusion

0 references

Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process

0 references

Penalized nonparametric drift estimation for a multidimensional diffusion process

0 references

Q2736761

0 references

Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes

0 references

Optimal convergence rates for the invariant density estimation of jump-diffusion processes

0 references

Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes

0 references

Threshold estimation of Markov models with jumps and interest rate modeling

0 references

Adaptive invariant density estimation for ergodic diffusions over anisotropic classes

0 references

Malliavin calculus, geometric mixing, and expansion of diffusion functionals

0 references

Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes

0 references

Bounds for the Mixing Rate in the Theory of Stochastic Equations

0 references

Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach

0 references

Sharp estimates for the convergence of the density of the Euler scheme in small time

0 references

Identifiers

DOI

10.1080/02331888.2023.2166047

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5880780

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W4316465926
@@ Property / OpenAlex ID: W4316465926 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4127741
@@ Property / cites work: Q4127741 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4870177
@@ Property / cites work: Q4870177 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic stability and control
@@ Property / cites work: Stochastic stability and control / rank @@
+Normal rank
@@ Property / cites work @@
+Q4124657
@@ Property / cites work: Q4124657 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Penalized nonparametric mean square estimation of the coefficients of diffusion processes
+Normal rank
@@ Property / cites work @@
+Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
+Normal rank
@@ Property / cites work @@
+Maximnm contrast estimation for diffusion processes from discrete observations
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of scalar diffusions based on low frequency data
+Normal rank
@@ Property / cites work @@
+Adaptive estimation in diffusion processes.
@@ Property / cites work: Adaptive estimation in diffusion processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of an Ergodic Diffusion from Discrete Observations
+Normal rank
@@ Property / cites work @@
+A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
+Normal rank
@@ Property / cites work @@
+Estimation for diffusion processes from discrete observation
+Normal rank
@@ Property / cites work @@
+An econometric analysis of nonsynchronous trading
@@ Property / cites work: An econometric analysis of nonsynchronous trading / rank @@
+Normal rank
@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+On covariance estimation of non-synchronously observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Concentration of scalar ergodic diffusions and some statistical implications
+Normal rank
@@ Property / cites work @@
+Nonparametric Identification for Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Nonparametric statistics for stochastic processes. Estimation and prediction.
+Normal rank
@@ Property / cites work @@
+Q3866945
@@ Property / cites work: Q3866945 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient density estimation for ergodic diffusion processes
+Normal rank
@@ Property / cites work @@
+Q3645225
@@ Property / cites work: Q3645225 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Density estimation in a continuous-time stationary Markov process
+Normal rank
@@ Property / cites work @@
+Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
+Normal rank
@@ Property / cites work @@
+Recursive computation of the invariant distribution of a diffusion
+Normal rank
@@ Property / cites work @@
+Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
+Normal rank
@@ Property / cites work @@
+Penalized nonparametric drift estimation for a multidimensional diffusion process
+Normal rank
@@ Property / cites work @@
+Q2736761
@@ Property / cites work: Q2736761 / rank @@
+Normal rank
@@ Property / cites work @@
+Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
+Normal rank
@@ Property / cites work @@
+Optimal convergence rates for the invariant density estimation of jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
+Normal rank
@@ Property / cites work @@
+Threshold estimation of Markov models with jumps and interest rate modeling
+Normal rank
@@ Property / cites work @@
+Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
+Normal rank
@@ Property / cites work @@
+Malliavin calculus, geometric mixing, and expansion of diffusion functionals
+Normal rank
@@ Property / cites work @@
+Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
+Normal rank
@@ Property / cites work @@
+Bounds for the Mixing Rate in the Theory of Stochastic Equations
+Normal rank
@@ Property / cites work @@
+Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
+Normal rank
@@ Property / cites work @@
+Sharp estimates for the convergence of the density of the Euler scheme in small time
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5880780