Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
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Cites work
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Bahadur representation of linear kernel quantile estimator of VaR under -mixing assumptions
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
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- Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- Inference for Observations of Integrated Diffusion Processes
- LAMN property for hidden processes: the case of integrated diffusions
- Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
- Nonlinearity and temporal dependence
- Nonparametric adaptive estimation for integrated diffusions
- Nonparametric estimation of second-order stochastic differential equations
- On the inverse of the first hitting time problem for bidimensional processes
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Parameter estimation for fractional diffusion process with discrete observations
- Parameter estimation for generalized diffusion processes with reflected boundary
- Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix
- Parameter estimation for Vasicek model driven by a general Gaussian noise
- Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method
- Re-weighted functional estimation of second-order diffusion processes
- Strong consistency of nonparametric kernel estimators for integrated diffusion process
- The functional law of the iterated logarithm for stationary strongly mixing sequences
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