Non parametric estimation of the diffusion coefficients of a diffusion with jumps

DOI10.1016/j.spa.2019.03.003zbMath1428.62378arXiv1311.6435OpenAlexW2558698288WikidataQ128243047 ScholiaQ128243047MaRDI QIDQ2280030

Emeline Schmisser

Publication date: 17 December 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.6435

zbMATH Keywords

model selectionnonparametric estimationjump diffusions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (8)

Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes ⋮ On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes ⋮ Optimal convergence rates for the invariant density estimation of jump-diffusion processes

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