Estimation of local smoothness coefficients for continuous time processes
From MaRDI portal
Publication:1600684
DOI10.1023/A:1013726523753zbMath1005.62075OpenAlexW1523327234MaRDI QIDQ1600684
Publication date: 16 June 2002
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1013726523753
Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99) Sample path properties (60G17)
Related Items (5)
Local Hölder exponent estimation for multivariate continuous time processes ⋮ Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time ⋮ NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH ⋮ Optimal sampling for density estimation in continuous time ⋮ Estimation of the local regularity index of a sample path
This page was built for publication: Estimation of local smoothness coefficients for continuous time processes