Estimating the dimension of factors of diffusion processes

DOI10.1524/STND.21.2.171.19006MaRDI QIDQ4459755zbMATH OpenOpenAlexFDO

Authors Klaus Pötzelberger

Publication date 18 May 2004

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.21.2.171.19006

zbMATH Keywords

box-counting dimensioncovering numberdimensionfactorItô processsupport

Mathematics Subject Classification ID

Hausdorff and packing measures (28A78) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

Recommendations

• Estimation of the Brownian dimension of a continuous Itô process
• Estimation of dimension for spatially distributed data and related limit theorems
• Invariant Density Estimation for Multidimensional Diffusions
• On the performance of box-counting estimators of fractal dimension
• On the functional estimation of multivariate diffusion processes

Cited in

(1)

• Estimation of the Brownian dimension of a continuous Itô process

This page was built for publication: Estimating the dimension of factors of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4459755)