Penalized nonparametric mean square estimation of the coefficients of diffusion processes (Q2465276)
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scientific article; zbMATH DE number 5224930
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| English | Penalized nonparametric mean square estimation of the coefficients of diffusion processes |
scientific article; zbMATH DE number 5224930 |
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Penalized nonparametric mean square estimation of the coefficients of diffusion processes (English)
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9 January 2008
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adaptive estimation
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discrete time observations
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drift and diffusion coefficients
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mean square estimator model selection
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penalized contrast
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retrospective simulation
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0.91976905
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0.91218764
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0.9072876
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0.90175414
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0.90072083
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0.9004846
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0.8983686
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