Adaptive nonparametric drift estimation of an integrated jump diffusion process
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Cites work
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Empirical likelihood inference for the second-order jump-diffusion model
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 46626 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 477682 (Why is no real title available?)
- Inference for Observations of Integrated Diffusion Processes
- LAMN property for hidden processes: the case of integrated diffusions
- Lévy Processes and Stochastic Calculus
- Maximum likelihood estimation for integrated diffusion processes
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric adaptive estimation for integrated diffusions
- Nonparametric estimation of second-order stochastic differential equations
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- On the inverse of the first hitting time problem for bidimensional processes
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Re-weighted Nadaraya-Watson estimation of second-order jump-diffusion model
- Risk bounds for model selection via penalization
- The Distribution of Realized Exchange Rate Volatility
Cited in
(14)- Nonparametric adaptive estimation for integrated diffusions
- Adaptive drift estimation for nonparametric diffusion model.
- Online drift estimation for jump-diffusion processes
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Bias correction estimation for a continuous-time asset return model with jumps
- Optimal convergence rates for the invariant density estimation of jump-diffusion processes
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
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