Nonparametric estimation of second-order stochastic differential equations

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

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A hyperbolic diffusion model for stock prices
Approximate discrete-time schemes for statistics of diffusion processes
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Estimation of an Ergodic Diffusion from Discrete Observations
Estimation of the coefficients of a diffusion from discrete observations
Fully Nonparametric Estimation of Scalar Diffusion Models
Inference for Observations of Integrated Diffusion Processes
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Nonparametric estimation of scalar diffusions based on low frequency data
On estimating the diffusion coefficient from discrete observations
Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
Parameter Estimation for a Discretely Observed Integrated Diffusion Process

Cited in

(29)

A test for a parametric form of the volatility in second-order diffusion models
Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
Re-weighted functional estimation of second-order diffusion processes
Rejoinder: Nonparametric estimation of noisy integral equations of the second kind
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
On parameter identification in stochastic differential equations by penalized maximum likelihood
Local linear estimation of second-order diffusion models
Bias correction estimation for a continuous-time asset return model with jumps
Local linear estimation of second-order jump-diffusion model
scientific article; zbMATH DE number 18821 (Why is no real title available?)
Adaptive nonparametric drift estimation of an integrated jump diffusion process
Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
Double-smoothed drift estimation of jump-diffusion model
Variance reduction approach for the volatility over a finite-time horizon
Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
Empirical studies on stochastic differential equations based on nonparametric methods
Bayesian estimation of a class of second-order stochastic differential equations
Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
Strong consistency of nonparametric kernel estimators for integrated diffusion process
Non parametric estimation of transition density for second-order diffusion processes
Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
Asymptotic properties of histogram density estimation for long-span high-frequency data in diffusion processes
Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
Local linear estimators for reflected diffusions
Berry-Esseen bounds of asymptotic normality of kernel density estimator for long-span high-frequency data with α -mixing
Non-parametric estimation of stochastic differential equations from stationary time-series
Modeling financial time series through second-order stochastic differential equations

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