Estimation of local smoothness coefficients for continuous time processes

DOI10.1023/A:1013726523753MaRDI QIDQ1600684zbMATH OpenOpenAlexFDO

Authors Delphine Blanke

Publication date 16 June 2002

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013726523753

zbMATH Keywords

a.s. rates of convergenceHoelder exponentsampling timessimulations

Mathematics Subject Classification ID

Sample path properties (60G17) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99)

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(8)

• Optimal rate local smoothing in a multiplicative intensity counting process model
• Estimation of the local regularity index of a sample path
• On smoothness measurement for weakly stationary processes
• Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time
• Optimal sampling for density estimation in continuous time
• Local Hölder exponent estimation for multivariate continuous time processes
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• scientific article; zbMATH DE number 6725675 (Why is no real title available?)

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