Maximum penalized quasi-likelihood estimation of the diffusion function
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Publication:2866380
DOI10.1080/14697688.2011.615212zbMath1277.91200arXiv1008.2421OpenAlexW2159016557MaRDI QIDQ2866380
Constantinos Kardaras, Jeff Hamrick, Yifei Huang, Murad S. Taqqu
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.2421
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Diffusion processes (60J60) Statistical methods; economic indices and measures (91B82)
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