Local linear estimation for stochastic processes driven by -stable Lévy motion

DOI10.1007/S11203-013-9080-3MaRDI QIDQ2392826zbMATH OpenOpenAlexFDO

Authors Yunyan Wang, Lixin Zhang

Publication date 2 August 2013

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

Full work available at URL https://doi.org/10.1007/s11203-013-9080-3

zbMATH Keywords

stochastic differential equationNadaraya-Watson estimatorlocal linear estimatorLévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 932659 (Why is no real title available?)
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Adaptive drift estimation for nonparametric diffusion model.
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Estimation of the drift for diffusion process
• Exotic option pricing and advanced Lévy models.
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Nonparametric estimation of the drift coefficient in the diffusion equation
• Reweighted functional estimation of diffusion models
• Sharp adaptive estimation of the drift function for ergodic diffusions
• Statistical inference for ergodic diffusion processes.

Cited in

(8)

• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Approximation in law of locally \(\alpha \)-stable Lévy-type processes by non-linear regressions
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Nonparametric estimation of periodic signal disturbed by α-stable noises
• Optimal estimation of the local time and the occupation time measure for an \(\alpha\)-stable Lévy process
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
• Nonparametric Gaussian inference for stable processes

This page was built for publication: Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2392826)