Non parametric estimation of the diffusion coefficient of a diffusion process

DOI10.1080/07362999808809525MaRDI QIDQ4385659zbMATH OpenOpenAlexFDO

Authors Philippe Soulier

Publication date 10 September 1998

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999808809525

zbMATH Keywords

diffusion processdiffusion coefficienttest of linearity

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

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Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
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• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Maximnm contrast estimation for diffusion processes from discrete observations
• On estimating the diffusion coefficient
• Orthonormal bases of compactly supported wavelets

Cited in

(27)

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• Asymptotics for theL^p-deviation of the variance estimator under diffusion
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Re-weighted functional estimation of second-order diffusion processes
• Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
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• Diffusion approximation for nonparametric autoregression
• Estimating the diffusion coefficient function for a diversified world stock index
• Parametric estimation for non recurrent diffusion processes
• Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
• Deviation of order p for estimators of the variance in first-order stochastic differential equation (SDE)
• Variance estimator for fractional diffusions with variance and drift depending on time
• Kernel estimation of the diffusion coefficients in time-dependent diffusion models
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
• A tractable model for indices approximating the growth optimal portfolio
• Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
• On estimating the diffusion coefficient: Parametric versus nonparametric.
• Bias reduction in nonparametric diffusion coefficient estimation
• Nonparametric estimation of diffusion coefficient under linear growth condition
• Maximum penalized quasi-likelihood estimation of the diffusion function
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Non-linear functionals of the Brownian bridge and some applications.

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