L_p estimation of the diffusion coefficient
DOI10.2307/3318712zbMATH Open0980.62073OpenAlexW1804327053MaRDI QIDQ1301751FDOQ1301751
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
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Besov spaceslocal timediffusion processesminimax estimationwavelet orthonormal baseswavelets on intervals
Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)
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- Maximum penalized quasi-likelihood estimation of the diffusion function
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- Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
- A Mathematical Theory of Financial Bubbles
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