On the functional estimation of multivariate diffusion processes

DOI10.1017/S0266466617000305zbMATH Open1393.62036OpenAlexW2755902306MaRDI QIDQ4569588FDOQ4569588

Authors: Federico M. Bandi, Guillermo Moloche 

Publication date: 26 June 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466617000305

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zbMATH Keywords

nonparametric estimationfunctional estimationHarris recurrencemultivariate diffusion processesNadaraya-Watson kernel

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cited In (26)

• On the confusion and diffusion properties of Maiorana-McFarland's and extended Maiorana-McFarland's functions
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
• Learning interacting particle systems: diffusion parameter estimation for aggregation equations
• A simple approach to the parametric estimation of potentially nonstationary diffusions
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
• Estimating the dimension of factors of diffusion processes
• Nonparametric estimation models of the drift vector and the diffusion matrix
• Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model
• Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
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• Estimation of partial differential equations with applications in finance
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• Reweighted Nadaraya-Watson estimation of jump-diffusion models
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Partial derivative estimation for underlying functional-valued process in a unified framework
• Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
• Stationarity-based specification tests for diffusions when the process is nonstationary
• Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• The multivariate functional de Jong CLT
• Drift estimation for a multi-dimensional diffusion process using deep neural networks
• Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach

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