Estimation of the Diffusion Coefficient Under Strong Mixing

DOI10.1080/02331889908802682zbMATH Open0939.62085OpenAlexW2145172083MaRDI QIDQ4943301FDOQ4943301

Authors: Mounir Arfi, Jean-Pierre Lecoutre 

Publication date: 3 July 2000

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889908802682

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zbMATH Keywords

strong mixingkernel estimatediffusion coefficients

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Cites Work

• On estimating the diffusion coefficient
• Title not available (Why is that?)
• Bernstein-type large deviations inequalities for partial sums of strong mixing processes
• Nonparametric drift estimation from ergodic samples
• Non‐parametric Variance Estimation from Ergodic Samples

Cited In (9)

• On estimating the diffusion coefficient
• Estimation of the diffusion coefficient from crossings
• Drift estimation from \(\tilde{\rho}\)-mixing sequences
• Title not available (Why is that?)
• Title not available (Why is that?)
• Steady Diffusion within a Finitely Extended Mixture Slab
• Title not available (Why is that?)
• Title not available (Why is that?)
• Non‐parametric Variance Estimation from Ergodic Samples

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