Nonparametric estimation of scalar diffusions based on low frequency data

DOI10.1214/009053604000000797zbMath1056.62091arXivmath/0503680MaRDI QIDQ1766134

Marc Hoffmann, Emmanuel Gobet, Markus Reiss

Publication date: 28 February 2005

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503680

zbMATH Keywords

spectral estimation; ill-posed problems; diffusion processes; discrete sampling; low frequency data; spetral approximation

Mathematics Subject Classification ID

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

62M05: Markov processes: estimation; hidden Markov models

47D07: Markov semigroups and applications to diffusion processes

62G99: Nonparametric inference

Related Items

Goodness of fit test for ergodic diffusions by tick time sample scheme, Parameter estimation for rough differential equations, Clustering of discretely observed diffusion processes, Nonlinear principal components and long-run implications of multivariate diffusions, Re-weighted functional estimation of second-order diffusion processes, Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions, A selective overview of nonparametric methods in financial econometrics, Non-parametric adaptive estimation of the drift for a jump diffusion process, Penalized nonparametric mean square estimation of the coefficients of diffusion processes, Maximum penalized quasi-likelihood estimation of the diffusion function, NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS, Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Minimax theory of image reconstruction
• Estimation of heteroscedasticity in regression analysis
• Estimation for diffusion processes from discrete observation
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Spectral methods for identifying scalar diffusions
• \(\mathbb{L}_p\) adaptive density estimation in a \(\beta\) mixing framework
• Adaptive estimation in diffusion processes.
• Perturbation theory for linear operators.
• LAN property for ergodic diffusions with discrete observations
• On Lipschitz Functions of Normal Operators
• Nonparametric estimation of the drift coefficient in the diffusion equation
• Asymptotic likelihood theory for diffusion processes
• Nonparametric Identification for Diffusion Processes
• Efficient estimation of conditional variance functions in stochastic regression
• One-Parameter Semigroups for Linear Evolution Equations
• Estimation of an Ergodic Diffusion from Discrete Observations
• Diffusions and Elliptic Operators
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Nonparametric Pricing of Interest Rate Derivative Securities
• Diffusion processes with boundary conditions