Adaptive estimation in diffusion processes.
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Publication:1593591
DOI10.1016/S0304-4149(98)00074-XzbMATH Open1043.62528OpenAlexW2071643496MaRDI QIDQ1593591FDOQ1593591
Authors: M. Hoffmann 
Publication date: 17 January 2001
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00074-x
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Cited In (62)
- Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Parametric inference for ergodic McKean-Vlasov stochastic differential equations
- Nonparametric plug-in classifier for multiclass classification of S.D.E. paths
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
- Nonparametric estimation of diffusion coefficient under linear growth condition
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions
- Drift estimation for a multi-dimensional diffusion process using deep neural networks
- Title not available (Why is that?)
- Prediction-based estimation for diffusion models with high-frequency data
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Nonparametric state estimation of diffusion processes
- Thresholding algorithms, maxisets and well-concentrated bases
- Adaptive estimation for affine stochastic delay differential equations
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- On nonparametric estimation in nonlinear AR(1)-models
- Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
- Nonparametric estimation for stochastic volatility models
- Estimating the diffusion coefficient function for a diversified world stock index
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Drift estimation on non compact support for diffusion models
- Statistical estimation in a randomly structured branching population
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Penalized nonparametric drift estimation for a multidimensional diffusion process
- Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
- Wavelet estimation of the diffusion coefficient in time dependent diffusion models
- Adaptive estimation for degenerate diffusion processes
- Evidential inference for diffusion-type processes
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Nonparametric adaptive estimation for integrated diffusions
- Central limit theorems of range-based estimators for diffusion models
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Adaptive LASSO-type estimation for multivariate diffusion processes
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Adaptive drift estimation for nonparametric diffusion model.
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Nonparametric estimation of jump diffusion models
- Nonparametric estimation of scalar diffusions based on low frequency data
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Maximum penalized quasi-likelihood estimation of the diffusion function
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Adaptive efficient analysis for big data ergodic diffusion models
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