One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem

DOI10.1007/S10958-008-9103-6MaRDI QIDQ2451255zbMATH OpenOpenAlexFDO

Authors K. Yu. Ermolenko, Sergey A. Vavilov

Publication date 3 June 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-008-9103-6

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3789264 (Why is no real title available?)
• A Tale of Two Time Scales
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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