Nonparametric state estimation of diffusion processes

DOI10.1093/BIOMET/89.2.451MaRDI QIDQ4419413zbMATH OpenOpenAlexFDO

Authors Isao Shoji

Publication date 13 August 2003

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/89.2.451

zbMATH Keywords

diffusion processesKalman filterstate estimationstate space model

Mathematics Subject Classification ID

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

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(5)

• Non-parametric state space models
• Expected a posteriori estimation in finance
• State estimation of long-range correlated non-equilibrium systems: media estimation
• \(L^{1}\)-convergence of smoothing densities in non-parametric state space models
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

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