Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
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Publication:1708989
DOI10.3150/17-BEJ950zbMath1419.62208arXiv1507.07139MaRDI QIDQ1708989
Publication date: 27 March 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.07139
Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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