Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes

DOI10.1007/S11424-020-8376-9MaRDI QIDQ2220436zbMATH OpenOpenAlexFDO

Authors Jun Wang, Ping Chen

Publication date 22 January 2021

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-020-8376-9

zbMATH Keywords

asymptotic propertieskernel functionmultidimensional modelnonparametric estimationtime-inhomogeneous

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• Central limit theorem for an estimator of the variance of a diffusion process in the multidimensional case
• Closed-form likelihood expansions for multivariate diffusions
• Density estimation by wavelet thresholding
• Fully Nonparametric Estimation of Scalar Diffusion Models
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2042814 (Why is no real title available?)
• Nonlinearity and temporal dependence
• Nonparametric estimation models of the drift vector and the diffusion matrix
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

Cited in

(15)

• Nonlinear principal components and long-run implications of multivariate diffusions
• Diffusion approximation for nonparametric autoregression
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Nonparametric trend coefficient estimation for multidimensional diffusions
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT
• Estimating the diffusion coefficient function for a diversified world stock index
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix
• Kernel estimation of the diffusion coefficients in time-dependent diffusion models
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• scientific article; zbMATH DE number 6402099 (Why is no real title available?)
• On estimating the diffusion coefficient: Parametric versus nonparametric.
• Parametric estimation for non recurrent diffusion processes
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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