Estimating equations based on eigenfunctions for a discretely observed diffusion process
From MaRDI portal
Recommendations
Cited in
(91)- Estimation of agent-based models: The case of an asymmetric herding model
- Statistical inference for reciprocal gamma diffusion process
- Nonlinear principal components and long-run implications of multivariate diffusions
- Langevin diffusions on the torus: estimation and applications
- Efficient estimators for functionals of Markov chains with parametric marginals.
- Financial options and statistical prediction intervals
- A review of asymptotic theory of estimating functions
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Nonparametric estimation of scalar diffusions based on low frequency data
- Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
- Conservative delta hedging.
- Martingale estimation functions for discretely observed diffusion processes
- Wavelets-based estimation of nonlinear canonical analysis
- Bimodality in gene expression without feedback: from Gaussian white noise to log-normal coloured noise
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
- Martingale estimation functions for Bessel processes
- Parameter estimation for non-stationary Fisher-Snedecor diffusion
- Estimating functions for jump-diffusions
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- A Hoeffding's inequality for uniformly ergodic diffusion process
- Nonparametric Gaussian inference for stable processes
- Estimating functions for SDE driven by stable Lévy processes
- A selective overview of nonparametric methods in financial econometrics
- Parametric inference for discretely observed subordinate diffusions
- Kernel-based nonlinear canonical analysis and time reversibility
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- A result on the first-passage time of an Ornstein-Uhlenbeck process
- Estimating parameters in diffusion processes using an approximate maximum likelihood approach
- High frequency asymptotics for wavelet-based tests for Gaussianity and isotropy on the torus
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Estimating functions for noisy observations of ergodic diffusions
- Diffusion copulas: identification and estimation
- Drift estimation of multiscale diffusions based on filtered data
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Martingale estimating functions based on eigenfunctions for discretely observed small diffusions
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Computing the eigenvalues of Gurtin-MacCamy models with diffusion
- Adaptive LASSO-type estimation for multivariate diffusion processes
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Multivariate Jacobi process with application to smooth transitions
- An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
- Semiparametric diffusion estimation and application to a stock market index
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- A transformation approach to modelling multi-modal diffusions
- scientific article; zbMATH DE number 1215449 (Why is no real title available?)
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
- scientific article; zbMATH DE number 2141519 (Why is no real title available?)
- Estimation for discretely observed diffusions using transform functions
- Estimating functions for diffusion-type processes
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Estimating functions and equivariance for diffusion models
- Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit
- Online Smoothing for Diffusion Processes Observed with Noise
- Properties of bounded stochastic processes employed in biophysics
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Asymptotic properties of maximum likelihood estimation: parameterized diffusion in a manifold
- DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
- HEDGING WITH ENERGY
- Continuous Time Wishart Process for Stochastic Risk
- Truncated dynamics and estimation of diffusion equations
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
- Test for parameter change in discretely observed diffusion processes
- Prediction-based estimating functions: review and new developments
- Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
- A method of moments estimator for interacting particle systems and their mean field limit
- An efficient method to simulate diffusion bridges
- Automated construction of effective potential via algorithmic implicit bias
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
- Linearization of ergodic McKean SDEs and applications
- Statistical algorithms for low-frequency diffusion data: a PDE approach
- Parametric estimation of stochastic differential equations via online gradient descent
- Filtered data based estimators for stochastic processes driven by colored noise
- A martingale approach for testing diffusion models based on infinitesimal operator
- On likelihood estimation for a discretely observed jump process
- Prediction-based estimation for diffusion models with high-frequency data
- Parametric inference for discretely observed non-ergodic diffusions
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Parametric estimation from approximate data: non-Gaussian diffusions
- Bayesian inference for functional response in a stochastic predator-prey system
- Approximate martingale estimating functions for stochastic differential equations with small noises
- Clustering of discretely observed diffusion processes
- Parametric and nonparametric models and methods in financial econometrics
This page was built for publication: Estimating equations based on eigenfunctions for a discretely observed diffusion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1290377)
