Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths

DOI10.1007/S11203-024-09310-9MaRDI QIDQ6635299zbMATH OpenFDO

Authors Eddy Ella-Mintsa

Publication date 9 November 2024

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-024-09310-9

zbMATH Keywords

diffusion coefficientdiffusion processleast squares contrastnonparametric estimationrepeated observations

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(2)

• Nonparametric drift estimation for i.i.d. paths of censored stochastic differential equations
• LAMN property for drift inference in systems of stochastic differential equations with common noise

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