REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS
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Publication:3557551
DOI10.1017/S0266466609100087zbMath1185.62150OpenAlexW3123805967MaRDI QIDQ3557551
Publication date: 23 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609100087
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (14)
Reweighted Nadaraya-Watson estimation of conditional density function in the right-censored model ⋮ Local Linear Estimation of Second-order Jump-diffusion Model ⋮ Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion ⋮ Variance reduction approach for the volatility over a finite-time horizon ⋮ Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model ⋮ Re-weighted functional estimation of second-order diffusion processes ⋮ Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Empirical likelihood inference for diffusion processes with jumps ⋮ Nonparametric estimation of a scalar diffusion model from discrete time data: a survey ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
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- Fully Nonparametric Estimation of Scalar Diffusion Models
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Weighted Nadaraya-Watson regression estimation
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