Inference for Observations of Integrated Diffusion Processes
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Cites work
- A hyperbolic diffusion model for stock prices
- Estimating the nitrous oxide emission rate from the soil surface by means of a diffusion model
- Malliavin calculus, geometric mixing, and expansion of diffusion functionals
- Mixing: Properties and examples
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On polynomial mixing bounds for stochastic differential equations
- Prediction-based estimating functions
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Simplified estimating functions for diffusion models with a high-dimensional parameter
- The Distribution of Realized Exchange Rate Volatility
- Time series: theory and methods.
Cited in
(45)- Nonparametric adaptive estimation for integrated diffusions
- Predicting integrals of diffusion processes
- An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions
- Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
- Re-weighted functional estimation of second-order diffusion processes
- Statistical inference for discrete-time samples from affine stochastic delay differential equations
- Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations
- Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations
- A test for the rank of the volatility process: the random perturbation approach
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Prediction-based estimating functions
- Inference for Diffusion Processes
- Nonparametric estimation of second-order stochastic differential equations
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Statistical Inference for Student Diffusion Process
- Local linear estimation of second-order diffusion models
- Bias correction estimation for a continuous-time asset return model with jumps
- scientific article; zbMATH DE number 7228912 (Why is no real title available?)
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Local linear estimation of second-order jump-diffusion model
- Higher moments and prediction-based estimation for the COGARCH(1,1) model
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- A pathwise inference method for the parameters of diffusion terms
- Adaptive nonparametric drift estimation of an integrated jump diffusion process
- Predicting integrals of diffusion processes with unknown diffusion parameters
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- 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
- Strong consistency of nonparametric kernel estimators for integrated diffusion process
- Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
- Non parametric estimation of transition density for second-order diffusion processes
- Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
- Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
- Berry-Esseen bounds of asymptotic normality of kernel density estimator for long-span high-frequency data with α -mixing
- Strang splitting for parametric inference in second-order stochastic differential equations
- A time warping model for seasonal data with application to age estimation from narwhal tusks
- LAMN property for hidden processes: the case of integrated diffusions
- Prediction-based estimation for diffusion models with high-frequency data
- Estimation of number of the derivatives of a Gaussian process
- Assessing the number of mean square derivatives of a Gaussian process
- Modeling financial time series through second-order stochastic differential equations
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