Local linear estimator for stochastic differential equations driven by -stable Lévy motions
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Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
consistencycentral limit theorembias reductionlocal linear estimatordrift coefficientstable Lévy motion
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited in
(7)- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion
- Nonparametric estimation of periodic signal disturbed by α-stable noises
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Nonparametric Gaussian inference for stable processes
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