From regression function to diffusion drift estimation in nonparametric setting

DOI10.1051/PROC/202068002MaRDI QIDQ3300135zbMATH OpenOpenAlexFDO

Authors F. Comte

Publication date 27 July 2020

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/proc/202068002

zbMATH Keywords

diffusion drift estimationnonparametric estimationregression function

Mathematics Subject Classification ID

Diffusion processes (60J60) Density estimation (62G07) General nonlinear regression (62J02)

Recommendations

• scientific article; zbMATH DE number 5910820
• Non-parametric drift estimation for diffusions from noisy data
• A new nonparametric estimation for diffusion function
• Nonparametric estimation models of the drift vector and the diffusion matrix
• Nonparametric hypothesis of drift function in locally stationary diffusion models
• Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis
• scientific article; zbMATH DE number 4005389
• Adaptive drift estimation for nonparametric diffusion model.

Cited in

(3)

• scientific article; zbMATH DE number 5910820 (Why is no real title available?)
• scientific article; zbMATH DE number 4005389 (Why is no real title available?)
• Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths

This page was built for publication: From regression function to diffusion drift estimation in nonparametric setting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3300135)