Non-parametric drift estimation for diffusions from noisy data

DOI10.1524/STND.2011.1063MaRDI QIDQ3011077zbMATH OpenOpenAlexFDO

Authors Emeline Schmisser

Publication date 28 June 2011

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2011.1063

zbMATH Keywords

model selectionstationary distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(18)

• Non-parametric estimation of the diffusion coefficient from noisy data
• Adaptive drift estimation for nonparametric diffusion model.
• A note on estimating drift and diffusion parameters from time series
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
• Drift estimation on non compact support for diffusion models
• Nonparametric estimation of jump diffusion models
• Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
• Non-parametric adaptive estimation of the drift for a jump diffusion process
• Nonparametric inference for fractional diffusion
• Estimating functions for noisy observations of ergodic diffusions
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• From regression function to diffusion drift estimation in nonparametric setting
• Variational estimation of the drift for stochastic differential equations from the empirical density
• A two-step estimation of diffusion processes using noisy observations
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• Optimal estimation of the rough Hurst parameter in additive noise
• Information bounds for inference in stochastic evolution equations observed under noise
• Parametric estimation from approximate data: non-Gaussian diffusions

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