Empirical likelihood-based inference for nonparametric recurrent diffusions

DOI10.1016/j.jeconom.2009.04.006zbMath1431.62344OpenAlexW2077798506MaRDI QIDQ2630085

Ke-Li Xu

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.04.006

zbMATH Keywords

diffusionstochastic differential equationlocal timeconfidence intervalnonstationarityempirical likelihoodnonparametric estimationdriftlocal linear smoothingcontinuous-time models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Markov processes: estimation; hidden Markov models (62M05)

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