On the functional estimation of multivariate diffusion processes
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Publication:4569588
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- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A multifactor, nonlinear, continuous-time model of interest rate votality
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Cited in
(26)- A simple approach to the parametric estimation of potentially nonstationary diffusions
- On the confusion and diffusion properties of Maiorana-McFarland's and extended Maiorana-McFarland's functions
- Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
- The normal approximation rate for the drift estimator of multidimensional diffusions
- The multivariate functional de Jong CLT
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
- Nonparametric estimation models of the drift vector and the diffusion matrix
- Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Stationarity-based specification tests for diffusions when the process is nonstationary
- Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Estimating the dimension of factors of diffusion processes
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Partial derivative estimation for underlying functional-valued process in a unified framework
- Learning interacting particle systems: diffusion parameter estimation for aggregation equations
- Simplified estimating functions for diffusion models with a high-dimensional parameter
- Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Nonparametric Gaussian inference for stable processes
- Estimation of partial differential equations with applications in finance
- 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
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