Nonparametric Identification for Diffusion Processes
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Cited in
(43)- Testing diffusion processes for non-stationarity
- Nonlinear principal components and long-run implications of multivariate diffusions
- Asymptotic inference for stochastic processes
- Spectral methods for identifying scalar diffusions
- Large deviation principle in nonparametric estimation of marked point processes
- On unbiased density estimation for ergodic diffusion
- Nonparametric estimation of scalar diffusions based on low frequency data
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
- A selective overview of nonparametric methods in financial econometrics
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Super optimal rates for nonparametric density estimation via projection estimators
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Multivariate wavelet density and regression estimators for stationary and ergodic continuous time processes: asymptotic results
- Nonparametric Bayesian methods for one-dimensional diffusion models
- Nonparametric estimation for FBSDEs models with applications in finance
- Maximum penalized quasi-likelihood estimation of the diffusion function
- Additive regression model for stationary and ergodic continuous time processes
- Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
- Nonparametric recursive estimation in stationary markov processes
- Additive Regression Model for Continuous Time Processes
- Nonparametric regression: An up–to–date bibliography
- Estimation of the drift for diffusion process
- Real-time identification of time-varying systems by non-parametric algorithms based on Parzen kernels
- Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates
- Optimal asymptotic quadratic error of nonparametric regression function estimates for a continuous-time process from sampled-data
- A family of minimax rates for density estimators in continuous time
- Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
- Application of multiple Fourier series to identification of multivariable non-stationary systems
- Optimal convergence rates for the invariant density estimation of jump-diffusion processes
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- On efficient estimation of invariant density for ergodic diffusion processes
- Flexible Bayesian inference for diffusion processesusing splines
- Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
- Long-run risk in stationary vector autoregressive models
- Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes
- Nonparametric Bayesian inference for ergodic diffusions
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Asymptotic normality of the additive regression components for continuous time processes
- Parametric and nonparametric models and methods in financial econometrics
- Estimating some characteristics of the conditional distribution in nonparametric functional models
- Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
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