Non parametric estimation of the jump coefficient of a diffusion with jumps
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Cites work
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Estimating the degree of activity of jumps in high frequency data
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Exchangeable fragmentation-coalescence processes and their equilibrium measures
- scientific article; zbMATH DE number 477682 (Why is no real title available?)
- Introduction to nonparametric estimation
- Lévy Processes and Stochastic Calculus
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric estimation of jump diffusion models
- On the functional estimation of jump-diffusion models.
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Risk bounds for model selection via penalization
- The Euler scheme for Lévy driven stochastic differential equations
- Threshold estimation of Markov models with jumps and interest rate modeling
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
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