LAN property for ergodic diffusions with discrete observations
From MaRDI portal
Recommendations
- LAN property for an ergodic diffusion with jumps
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
- scientific article; zbMATH DE number 6285794
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
Cited in
(78)- Estimation for stochastic differential equations with a small diffusion coefficient
- Efficient estimation of stable Lévy process with symmetric jumps
- A review of asymptotic theory of estimating functions
- Hybrid estimators for stochastic differential equations from reduced data
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Nonparametric estimation of scalar diffusions based on low frequency data
- Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Adaptive testing method for ergodic diffusion processes based on high frequency data
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- LAMN property for multivariate inhomogeneous diffusions with discrete observations
- Volatility uncertainty quantification in a stochastic control problem applied to energy
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- Estimating functions for jump-diffusions
- Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- On the asymptotic properties of Bayes-type estimators with general loss functions
- Data driven time scale in Gaussian quasi-likelihood inference
- The Dantzig selector for a linear model of diffusion processes
- Malliavin calculus approach to statistical inference for Lévy driven SDE's
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- A selective overview of nonparametric methods in financial econometrics
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
- The nonparametric LAN expansion for discretely observed diffusions
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Robust parameter estimation for the Ornstein-Uhlenbeck process
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
- Asymptotic inference for jump diffusions with state-dependent intensity
- An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
- LAN property for some fractional type Brownian motion
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
- Adaptive estimation of an ergodic diffusion process based on sampled data
- On the approximate maximum likelihood estimation for diffusion processes
- Diffusions with measurement errors. I. Local Asymptotic Normality
- AIC type statistics for discretely observed ergodic diffusion processes
- LAN property for a simple Lévy process
- LAN property for discretely observed solutions to Lévy driven SDE's
- LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Two-step estimation of ergodic Lévy driven SDE
- On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
- LAN property for an ergodic diffusion with jumps
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- LAMN property for jump diffusion processes with discrete observations on a fixed time interval
- Parameter estimation of discretely observed interacting particle systems
- Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
- Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
- Empirical‐process‐based specification tests for diffusion models
- Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
- An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model
- Nonparametric plug-in classifier for multiclass classification of S.D.E. paths
- Efficient drift parameter estimation for ergodic solutions of backward SDEs
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
- Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths
- Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime
- Local asymptotic properties for the growth rate of a jump-type CIR process
- Growth condition on the generator of BSDE with singular terminal value ensuring continuity up to terminal time
- LAQ property for singular drift parameters of diffusions with discrete observations
- LAMN property for hidden processes: the case of integrated diffusions
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Contrast-based information criterion for ergodic diffusion processes from discrete observations
This page was built for publication: LAN property for ergodic diffusions with discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1863418)
