Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

DOI10.1007/s10479-016-2273-6zbMath1397.62286MaRDI QIDQ1699137

Christian Gouriéroux, Songsak Sriboonchitta, Nguyen Trung Hung

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2273-6

zbMATH Keywords

local time; nonlinear canonical analysis; diffusion model; low frequency data; prediction operator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

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Approximation of fractional local times: zero energy and derivatives

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