Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
From MaRDI portal
Publication:4918488
Recommendations
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Penalized nonparametric drift estimation for a multidimensional diffusion process
- Drift estimation on non compact support for diffusion models
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
Cited in
(10)- Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
- Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- A two-step estimation of diffusion processes using noisy observations
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
- Penalized nonparametric drift estimation for a multidimensional diffusion process
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
This page was built for publication: Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4918488)
