Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
From MaRDI portal
Publication:4956067
DOI10.1111/1467-9469.00180zbMath0938.62085OpenAlexW2168232438MaRDI QIDQ4956067
Publication date: 24 May 2000
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00180
Related Items
Stable Convergence of Certain Functionals of Diffusions Driven by fBm ⋮ Prediction-based estimation for diffusion models with high-frequency data ⋮ Adaptive efficient analysis for big data ergodic diffusion models ⋮ On a set of data for the membrane potential in a neuron ⋮ A Fourier transform method for nonparametric estimation of multivariate volatility ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Central limit theorems of range-based estimators for diffusion models ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model ⋮ Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Smoluchowski processes and nonparametric estimation of functionals of particle displacement distributions from count data ⋮ Adaptive estimation of intensity in a doubly stochastic Poisson process ⋮ A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets ⋮ Estimating the diffusion coefficient function for a diversified world stock index ⋮ Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies ⋮ ANOVA for diffusions and Itō processes ⋮ Financial options and statistical prediction intervals ⋮ Smoothing and occupation measures of stochastic processes ⋮ Penalized nonparametric mean square estimation of the coefficients of diffusion processes ⋮ Deviation of orderpfor estimators of the variance in first-order stochastic differential equation (SDE) ⋮ A tractable model for indices approximating the growth optimal portfolio ⋮ The lifetime of a financial bubble ⋮ Wavelet estimation of the diffusion coefficient in time dependent diffusion models ⋮ A Semiparametric Model of Estimating Volatility of Diffusion Processes ⋮ Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations ⋮ Real-time estimation scheme for the spot cross volatility of jump diffusion processes ⋮ Approximation of the occupation measure of Lévy processes ⋮ A Hybrid Model for Pricing and Hedging of Long-dated Bonds ⋮ Nonparametric estimation of jump diffusion models ⋮ Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models ⋮ NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS ⋮ Stochastic regression and its application to hedging in finance ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ A Mathematical Theory of Financial Bubbles ⋮ Maximum penalized quasi-likelihood estimation of the diffusion function ⋮ Variance estimator for fractional diffusions with variance and drift depending on time ⋮ Unstable volatility: the break-preserving local linear estimator
