Nonparametric estimation models of the drift vector and the diffusion matrix

MaRDI QIDQ2886897zbMATH OpenFDO

Authors Yu Feng, Ping Chen

Publication date 1 June 2012

Published in Chinese Annals of Mathematics. Series A (Search for Journal in Brave)

zbMATH Keywords

nonparametric regressiongeneric models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(10)

• Nonparametric state estimation of diffusion processes
• scientific article; zbMATH DE number 4005389 (Why is no real title available?)
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Drift estimation on non compact support for diffusion models
• On the functional estimation of multivariate diffusion processes
• Adaptive drift estimation for nonparametric diffusion model.
• Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
• Estimation of a diffusion matrix by condensing random sampling
• From regression function to diffusion drift estimation in nonparametric setting
• Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

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