Adaptive drift estimation for nonparametric diffusion model.
From MaRDI portal
Recommendations
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Adaptive nonparametric drift estimation of an integrated jump diffusion process
- Adaptive estimation in diffusion processes.
- Nonparametric adaptive estimation for integrated diffusions
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- Non-parametric drift estimation for diffusions from noisy data
- Nonparametric estimation models of the drift vector and the diffusion matrix
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3841066 (Why is no real title available?)
- scientific article; zbMATH DE number 3921745 (Why is no real title available?)
- scientific article; zbMATH DE number 4100415 (Why is no real title available?)
- scientific article; zbMATH DE number 3721930 (Why is no real title available?)
- scientific article; zbMATH DE number 44889 (Why is no real title available?)
- scientific article; zbMATH DE number 219861 (Why is no real title available?)
- scientific article; zbMATH DE number 4197203 (Why is no real title available?)
- A constrained risk inequality with applications to nonparametric functional estimation
- Adaptive minimax estimation of infinitely differentiable functions.
- Asymptotic equivalence for nonparametric generalized linear models
- Diffusion approximation for nonparametric autoregression
- Efficient estimation of conditional variance functions in stochastic regression
- Estimation of a function with discontinuities via local polynomial fit with an adaptive window choice
- Fitting time series models to nonstationary processes
- Ideal spatial adaptation by wavelet shrinkage
- KERNEL REGRESSION SMOOTHING OF TIME SERIES
- Local Polynomial Variance-Function Estimation
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Nonparametric recursive estimation in nonlinear ARX-models
- ON THE AVERAGING PRINCIPLE FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
- On minimax identification of nonparametric autoregressive models
- Optimal pointwise adaptive methods in nonparametric estimation
- Optimal spatial adaptation to inhomogeneous smoothness: An approach based on kernel estimates with variable bandwidth selectors
- Robust reconstruction of functions by the local-approximation method
- Statistical inference for time-inhomogeneous volatility models.
- Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
Cited in
(35)- Non-parametric drift estimation for diffusions from noisy data
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- From regression function to diffusion drift estimation in nonparametric setting
- Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion
- A two-step estimation of diffusion processes using noisy observations
- Non-parametric estimation for partially observed transient diffusion processes
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Nonparametric estimation models of the drift vector and the diffusion matrix
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric adaptive estimation for integrated diffusions
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- Adaptive estimation in diffusion processes.
- Drift estimation on non compact support for diffusion models
- Nonparametric estimation of diffusions: a differential equations approach
- Nonparametric inference for fractional diffusion
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Re-weighted functional estimation of second-order diffusion processes
- Kernel-based regression of drift and diffusion coefficients of stochastic processes
- scientific article; zbMATH DE number 3903797 (Why is no real title available?)
- Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
- Flexible Bayesian inference for diffusion processesusing splines
- Nonparametric state estimation of diffusion processes
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- A selective overview of nonparametric methods in financial econometrics
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Nonparametric Bayesian inference for ergodic diffusions
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Drift estimation for a multi-dimensional diffusion process using deep neural networks
- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
This page was built for publication: Adaptive drift estimation for nonparametric diffusion model.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1848800)
