Adaptive nonparametric drift estimation of an integrated jump diffusion process
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Publication:4615437
DOI10.1051/PS/2018005zbMATH Open1409.62161OpenAlexW2748085134MaRDI QIDQ4615437FDOQ4615437
Authors: Benedikt Funke, Emeline Schmisser 
Publication date: 28 January 2019
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2018005
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Cited In (14)
- Online drift estimation for jump-diffusion processes
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Optimal convergence rates for the invariant density estimation of jump-diffusion processes
- Nonparametric adaptive estimation for integrated diffusions
- Bias correction estimation for a continuous-time asset return model with jumps
- Adaptive drift estimation for nonparametric diffusion model.
- Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
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