Empirical likelihood based inference for second-order diffusion models

DOI10.1360/012011-251zbMATH Open1488.62134OpenAlexW2315112556MaRDI QIDQ5017776FDOQ5017776

Authors: Yunyan Wang, Lixin Zhang, Hanchao Wang 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012011-251

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zbMATH Keywords

empirical likelihoodstochastic differential equationsecond-order diffusion process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

Cited In (7)

• Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• On the second-order properties of empirical likelihood with moment restrictions
• Bias correction estimation for a continuous-time asset return model with jumps
• Empirical likelihood inference for the second-order jump-diffusion model
• Empirical likelihood inference for diffusion processes with jumps
• Empirical likelihood-based inference for nonparametric recurrent diffusions

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