Non-parametric estimation of the coefficients of ergodic diffusion processes based on high-frequency data

MaRDI QIDQ4913199zbMATH OpenFDO

Authors F. Comte, V. Genon-Catalot, Yves Rozenholc

Publication date 3 April 2013

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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(3)

• Nonparametric estimation of scalar diffusions based on low frequency data
• Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
• Efficient estimation for diffusions sampled at high frequency over a fixed time interval

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