Nonparametric estimation of the drift coefficient in the diffusion equation

DOI10.1080/02331888108801571zbMath0485.62089OpenAlexW2057744926MaRDI QIDQ3945433

Pham Dinh Tuan

Publication date: 1981

Published in: Series Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888108801571

zbMATH Keywords

asymptotic normalityasymptotic biasweak consistencynonlinear regressionstochastic integralsrecursive estimationIto diffusion equation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (14)

On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators ⋮ Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations ⋮ A selective overview of nonparametric methods in financial econometrics ⋮ Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion ⋮ Flexible Bayesian inference for diffusion processesusing splines ⋮ Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective ⋮ Unnamed Item ⋮ Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions ⋮ Nonparametric estimation of scalar diffusions based on low frequency data ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3038407 Propri�t�s de convergence presque compl�te du pr�dicteur � noyau] ⋮ Nonparametric Bayesian inference for ergodic diffusions ⋮ Nonparametric Gaussian inference for stable processes ⋮ Kernel estimation and interpolation for time series containing missing observations ⋮ Sharp adaptive estimation of the drift function for ergodic diffusions

This page was built for publication: Nonparametric estimation of the drift coefficient in the diffusion equation