Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
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Publication:1996772
DOI10.1214/19-AOS1933zbMATH Open1465.62069OpenAlexW3111739917WikidataQ115240829 ScholiaQ115240829MaRDI QIDQ1996772FDOQ1996772
Authors: V. Genon-Catalot, F. Comte 
Publication date: 26 February 2021
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1607677238
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model selectiondiffusion processLaguerre basisprojection estimatorsHermite basisnonparametric drift estimation
Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (25)
- Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
- 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
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- Nonparametric adaptive estimation for interacting particle systems
- Learning interaction kernels in stochastic systems of interacting particles from multiple trajectories
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
- 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 i.i.d. paths of fractional SDE
- Nonparametric drift estimation from diffusions with correlated Brownian motions
- Nonparametric plug-in classifier for multiclass classification of S.D.E. paths
- Drift estimation on non compact support for diffusion models
- 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
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