L_p estimation of the diffusion coefficient

DOI10.2307/3318712MaRDI QIDQ1301751zbMATH OpenOpenAlexFDO

Authors M. Hoffmann

Publication date 6 March 2002

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3318712

zbMATH Keywords

Besov spaceslocal timediffusion processesminimax estimationwavelet orthonormal baseswavelets on intervals

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Recommendations

• Minimax estimation of the diffusion coefficient through irregular samplings
• Adaptive estimation in diffusion processes.
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
• On estimating the diffusion coefficient: Parametric versus nonparametric.

Cited in

(33)

• On estimating the diffusion coefficient
• Smoothing and occupation measures of stochastic processes
• Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation
• ANOVA for diffusions and Itō processes
• Estimating the diffusion coefficient function for a diversified world stock index
• Maximum penalized quasi-likelihood estimation of the diffusion function
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
• Multiresolution approximation for volatility processes
• Prediction-based estimation for diffusion models with high-frequency data
• Estimating the diffusion coefficient for diffusions driven by fBm
• On a set of data for the membrane potential in a neuron
• Some remarks on estimation of diffusion coefficients for jump-diffusions from finite samples
• Estimating the concentration of the Langevin distribution
• Nonparametric plug-in classifier for multiclass classification of S.D.E. paths
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• scientific article; zbMATH DE number 6531532 (Why is no real title available?)
• scientific article; zbMATH DE number 970748 (Why is no real title available?)
• A mathematical theory of financial bubbles
• Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• Spot volatility estimation using delta sequences
• Estimating diffusion coefficients from count data: Einstein-Smoluchowski theory revisited
• Central limit theorems of range-based estimators for diffusion models
• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
• A pathwise inference method for the parameters of diffusion terms
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• Thresholding algorithms, maxisets and well-concentrated bases
• A \texttt{Matlab} program to calculate translational and rotational diffusion coefficients of a single particle
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Estimation of the diffusion coefficient from crossings
• scientific article; zbMATH DE number 792718 (Why is no real title available?)
• Nonparametric estimation of jump diffusion models

This page was built for publication: \(L_p\) estimation of the diffusion coefficient

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1301751)