Estimation of the diffusion coefficient from crossings

DOI10.1023/A:1009927813898MaRDI QIDQ1962691zbMATH OpenOpenAlexFDO

Authors Danielle Florens

Publication date 6 March 2002

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

Full work available at URL https://doi.org/10.1023/a:1009927813898

zbMATH Keywords

crossingsdiffusionsdiscretizationlocal time

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(10)

• Estimating diffusion coefficients from count data: Einstein-Smoluchowski theory revisited
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Diffusion curves with diffusion coefficients
• Transformation invariant stochastic catastrophe theory
• On estimating the diffusion coefficient
• Estimation of the Diffusion Coefficient Under Strong Mixing
• Specification tests for univariate diffusions
• Two consistent estimators for the skew Brownian motion
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion

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