Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
From MaRDI portal
Publication:1996772
Recommendations
- Drift estimation on non compact support for diffusion models
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Adaptive drift estimation for nonparametric diffusion model.
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
Cites work
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- scientific article; zbMATH DE number 3477793 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Adaptive estimation in diffusion processes.
- An Inequality for Hermite Polynomials
- Analysis of panel data
- Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
- Asymptotic statistical equivalence for scalar ergodic diffusions
- Bidimensional random effect estimation in mixed stochastic differential model
- Computable infinite-dimensional filters with applications to discretized diffusion processes
- Consistent procedures for multiclass classification of discrete diffusion paths
- Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models
- Laguerre and Hermite bases for inverse problems
- Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
- Minimal penalties for Gaussian model selection
- Mixed effects in stochastic differential equation models
- Model selection for (auto-)regression with dependent data
- Nonparametric estimation for stochastic differential equations with random effects
- On the stability and accuracy of least squares approximations
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Practical estimation of high dimensional stochastic differential mixed-effects models
- Regression function estimation as a partly inverse problem
- Regression function estimation on non compact support in an heteroscesdastic model
- Simulation and inference for stochastic differential equations. With R examples.
- Smooth Transition Densities for One-Dimensional Diffusions
- Statistical inference for ergodic diffusion processes.
- Stochastic differential mixed-effect models
- User-friendly tail bounds for sums of random matrices
Cited in
(25)- Non-parametric estimation of stochastic differential equations from stationary time-series
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
- scientific article; zbMATH DE number 5258064 (Why is no real title available?)
- Learning interaction kernels in stochastic systems of interacting particles from multiple trajectories
- Nonparametric adaptive estimation for interacting particle systems
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Variational estimation of the drift for stochastic differential equations from the empirical density
- Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Drift estimation on non compact support for diffusion models
- Nonparametric drift estimation from diffusions with correlated Brownian motions
- Nonparametric plug-in classifier for multiclass classification of S.D.E. paths
- Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- On a projection least squares estimator for jump diffusion processes
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
- Parameter estimation of discretely observed interacting particle systems
- On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE
- Nonparametric estimation for interacting particle systems: McKean-Vlasov models
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
- Empirical studies on stochastic differential equations based on nonparametric methods
- scientific article; zbMATH DE number 3982342 (Why is no real title available?)
This page was built for publication: Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1996772)
