Estimation of an Ergodic Diffusion from Discrete Observations
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- On cusp estimation of ergodic diffusion process
- A review of asymptotic theory of estimating functions
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- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Moment convergence of Z-estimators
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- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
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- Parametric inference for hypoelliptic ergodic diffusions with full observations
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Global jump filters and quasi-likelihood analysis for volatility
- Adaptive estimation for degenerate diffusion processes
- Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
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- Adaptive testing method for ergodic diffusion processes based on high frequency data
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Consistent estimation of drift parameter in diffusion model with misspecified volatility function
- Quasi-likelihood analysis and its applications
- Noise inference for ergodic Lévy driven SDE
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
- LAMN property for multivariate inhomogeneous diffusions with discrete observations
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Detecting the sampling rate through observations
- Weak convergence of marked empirical processes in a Hilbert space and its applications
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- Indirect inference in fractional short-term interest rate diffusions
- Regularized bridge-type estimation with multiple penalties
- Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
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- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Estimating functions for jump-diffusions
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Adaptive test for ergodic diffusions plus noise
- Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
- Data driven time scale in Gaussian quasi-likelihood inference
- The Dantzig selector for a linear model of diffusion processes
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- On the multi-step MLE-process for ergodic diffusion
- A selective overview of nonparametric methods in financial econometrics
- Comment: A selective overview of nonparametric methods in financial econometrics
- \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Nonparametric density estimation in compound Poisson processes using convolution power estimators
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Efficient estimation of drift parameters in stochastic volatility models
- The Bickel--Rosenblatt test for diffusion processes
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
- The delta expansion for the transition density of diffusion models
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Diffusion copulas: identification and estimation
- Change point inference in ergodic diffusion processes based on high frequency data
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
- Map estimation of diffusions -- an updated account
- Bayesian multivariate normal analysis under the extended reflected normal loss function
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- Asymptotic inference for jump diffusions with state-dependent intensity
- Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
- Maximum likelihood estimation for the drift parameter in diffusion processes
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- Nonparametric estimation of second-order stochastic differential equations
- Adaptive LASSO-type estimation for multivariate diffusion processes
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Model selection for volatility prediction
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
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- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
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- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
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