Bias reduction in nonparametric diffusion coefficient estimation

DOI10.1017/S0266466603195035MaRDI QIDQ4561980zbMATH OpenOpenAlexFDO

Authors João Nicolau

Publication date 14 December 2018

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603195035

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(10)

• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Specification testing in discretized diffusion models: theory and practice
• Online kernel estimation of stationary stochastic diffusion models
• A two-step estimation of diffusion processes using noisy observations
• A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
• Jump-robust volatility estimation using dynamic dual-domain integration method
• Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
• Bias reduction in the estimation of diffusion processes from discrete observations
• Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
• Semi-nonparametric estimation and misspecification testing of diffusion models

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