On estimating the diffusion coefficient: Parametric versus nonparametric.
From MaRDI portal
Recommendations
- Non parametric estimation of the diffusion coefficient of a diffusion process
- Non-parametric estimation of the diffusion coefficient from noisy data
- On estimating the diffusion coefficient
- scientific article; zbMATH DE number 6402099
- Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
- Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
Cited in
(10)- Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
- \(L_p\) estimation of the diffusion coefficient
- Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
- Improvement in the accuracy of multidimensional probability density estimate by pre-testing.
- On a set of data for the membrane potential in a neuron
- Nonparametric estimation of diffusion coefficient under linear growth condition
- Smoluchowski processes and nonparametric estimation of functionals of particle displacement distributions from count data
- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
- Minimax risk with random normalizing factors in the single-index model
This page was built for publication: On estimating the diffusion coefficient: Parametric versus nonparametric.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5939321)
