On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
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(only showing first 100 items - show all)- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Estimation for stochastic differential equations with a small diffusion coefficient
- Parametric estimation for partially hidden diffusion processes sampled at discrete times
- Coupling methods for multidimensional diffusion processes
- Minimax estimation of the diffusion coefficient through irregular samplings
- A review of asymptotic theory of estimating functions
- Hybrid estimators for stochastic differential equations from reduced data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Statistical estimation of the oscillating Brownian motion
- Approximation of the occupation measure of Lévy processes
- Convergence of some random functionals of discretized semimartingales
- Minimum density power divergence estimator for diffusion processes
- Estimation of the lead-lag parameter from non-synchronous data
- Parametric inference for hypoelliptic ergodic diffusions with full observations
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Global jump filters and quasi-likelihood analysis for volatility
- Adaptive testing method for ergodic diffusion processes based on high frequency data
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- The LAN property for McKean-Vlasov models in a mean-field regime
- Quasi-likelihood analysis and its applications
- Noise inference for ergodic Lévy driven SDE
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
- LAMN property for multivariate inhomogeneous diffusions with discrete observations
- Parametric inference for diffusions observed at stopping times
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Estimating functions for jump-diffusions
- A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
- Statistical estimation in a randomly structured branching population
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Data driven time scale in Gaussian quasi-likelihood inference
- The Dantzig selector for a linear model of diffusion processes
- Difference based estimators and infill statistics
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- A selective overview of nonparametric methods in financial econometrics
- Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Central limit theorem for the realized volatility based on tick time sampling
- Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Smoothing and occupation measures of stochastic processes
- Efficient estimation of drift parameters in stochastic volatility models
- Almost sure optimal hedging strategy
- Approximation of epidemic models by diffusion processes and their statistical inference
- Conditional expansions and their applications.
- Estimating functions for noisy observations of ergodic diffusions
- Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A mathematical theory of financial bubbles
- Quantifying Model Uncertainties in Complex Systems
- Model selection for volatility prediction
- Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
- Maximum likelihood estimation for Wishart processes
- Simultaneous determination of two coefficients in Itô diffusion processes: theoretical and numerical approaches
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- Parameter estimation in a verhulst stochastic model
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
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- Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
- On a family of test statistics for discretely observed diffusion processes
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- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Yield curve smoothing and residual variance of fixed income positions
- On the functional estimation of multivariate diffusion processes
- The Dantzig selector for diffusion processes with covariates
- LAN property for a simple Lévy process
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Estimation of the Diffusion Coefficient Under Strong Mixing
- LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
- Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
- Estimation of integrated quadratic covariation with endogenous sampling times
- Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Parametric inference for mixed models defined by stochastic differential equations
- Two-step estimation of ergodic Lévy driven SDE
- Stability of densities for perturbed diffusions and Markov chains
- Simultaneous determination of the drift and diffusion coefficients in stochastic differential equations
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
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- Quasi-maximum likelihood estimation of multivariate diffusions
- Estimating the diffusion coefficient for diffusions driven by fBm
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