Inference methods in time-varying linear diffusion processes

DOI10.1214/25-EJS2356MaRDI QIDQ6979881zbMATH OpenFDO

Authors Yunhong Lyu, Sévérien Nkurunziza

Publication date 23 May 2025

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-19/issue-1/Inference-methods-in-time-varying-linear-diffusion-processes/10.1214/25-EJS2356.full

zbMATH Keywords

asymptotic propertydiffusion processestimationJames-Stein estimatorsmean-reverting processshrinkage estimatorstesting

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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• The risk of pretest and shrinkage estimators
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