Nonparametric drift estimation from ergodic samples

DOI10.1080/10485259508832655MaRDI QIDQ3837416zbMATH OpenOpenAlexFDO

Authors Mounir Arfi

Publication date 6 March 1997

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485259508832655

zbMATH Keywords

diffusion processdrift functionergodicitykernel-type estimatestochastic differential equationuniform strong consistency

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Cites work

• Asymptotic likelihood theory for diffusion processes
• scientific article; zbMATH DE number 3388297 (Why is no real title available?)
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• Strong consistent density estimate from ergodic sample
• Weighted sums of certain dependent random variables

Cited in

(11)

• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Nonparametric Gaussian inference for stable processes
• Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
• Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
• Nonparametric prediction from ergodic samples
• Estimation of the Diffusion Coefficient Under Strong Mixing
• scientific article; zbMATH DE number 5258064 (Why is no real title available?)
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• Bias reduction estimation for drift coefficient in diffusion models with jumps
• Uniformly asymptotic normality of estimation of the drift function for diffusion processes
• Parametric and nonparametric models and methods in financial econometrics

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