Nonparametric estimation of second-order stochastic differential equations

DOI10.1017/S0266466607070375zbMATH Open1237.62105OpenAlexW2009129315MaRDI QIDQ2886970FDOQ2886970

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070375

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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

Estimation of the coefficients of a diffusion from discrete observations
Parameter Estimation for a Discretely Observed Integrated Diffusion Process
Approximate discrete-time schemes for statistics of diffusion processes
Estimation of an Ergodic Diffusion from Discrete Observations
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
On estimating the diffusion coefficient from discrete observations
Fully Nonparametric Estimation of Scalar Diffusion Models
Nonparametric estimation of scalar diffusions based on low frequency data
A hyperbolic diffusion model for stock prices
Inference for Observations of Integrated Diffusion Processes
Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

Cited In (25)

Modeling financial time series through second-order stochastic differential equations
Non-parametric estimation of stochastic differential equations from stationary time-series
Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
Bayesian estimation of a class of second-order stochastic differential equations
Double-smoothed drift estimation of jump-diffusion model
Non parametric estimation of transition density for second-order diffusion processes
Re-weighted functional estimation of second-order diffusion processes
Variance reduction approach for the volatility over a finite-time horizon
Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
Bias correction estimation for a continuous-time asset return model with jumps
Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
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Rejoinder: Nonparametric estimation of noisy integral equations of the second kind
Adaptive nonparametric drift estimation of an integrated jump diffusion process
Local linear estimation of second-order jump-diffusion model
Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
On parameter identification in stochastic differential equations by penalized maximum likelihood
Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
A test for a parametric form of the volatility in second-order diffusion models
Empirical studies on stochastic differential equations based on nonparametric methods
Local linear estimation of second-order diffusion models
Strong consistency of nonparametric kernel estimators for integrated diffusion process

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