Maximum penalized quasi-likelihood estimation of the diffusion function

DOI10.1080/14697688.2011.615212zbMath1277.91200arXiv1008.2421MaRDI QIDQ2866380

Constantinos Kardaras, Jeff Hamrick, Yifei Huang, Murad S. Taqqu

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2421

zbMATH Keywords

diffusions; nonparametric estimation; penalized quasi-likelihood

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

62G05: Nonparametric estimation

60J60: Diffusion processes

91B82: Statistical methods; economic indices and measures

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