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

DOI10.1007/S10958-008-9103-6zbMATH Open1288.62053OpenAlexW2001354202MaRDI QIDQ2451255FDOQ2451255

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

Recommendations

• Nonparametric estimation for stochastic volatility models
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
• scientific article; zbMATH DE number 5944098
• Nonparametric volatility density estimation
• Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data

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)

Cites Work

• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales
• Title not available (Why is that?)

This page was built for publication: One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2451255)