Non-parametric estimation of the diffusion coefficient from noisy data

DOI10.1007/S11203-012-9072-8MaRDI QIDQ1757892zbMATH OpenOpenAlexFDO

Authors Emeline Schmisser

Publication date 7 November 2012

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-012-9072-8

zbMATH Keywords

diffusion coefficientmodel selectionnoisy datanonparametric estimationstationary distribution

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Microstructure noise in the continuous case: the pre-averaging approach
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• On the Poisson equation and diffusion approximation. I
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Cited in

(16)

• Nonparametric estimation of jump diffusion models
• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
• Estimating functions for noisy observations of ergodic diffusions
• Non-parametric drift estimation for diffusions from noisy data
• A two-step estimation of diffusion processes using noisy observations
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Central limit theorems of range-based estimators for diffusion models
• Jump-robust volatility estimation using dynamic dual-domain integration method
• scientific article; zbMATH DE number 6402099 (Why is no real title available?)
• On estimating the diffusion coefficient: Parametric versus nonparametric.
• Optimal estimation of the rough Hurst parameter in additive noise
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Nonparametric Bayesian estimation in a multidimensional diffusion model with high frequency data
• Parametric estimation from approximate data: non-Gaussian diffusions
• Estimating Kramers-Moyal coefficients in short and non-stationary data sets

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