Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels

DOI10.1080/03610926.2012.756915MaRDI QIDQ5265876zbMATH OpenOpenAlexFDO

Authors

Publication date 29 July 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.756915

zbMATH Keywords

stochastic differential equationsdiffusionsnon-parametric estimationasymmetric kernels

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• A note on the performance of the gamma kernel estimators at the boundary
• CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
• Density estimation using inverse and reciprocal inverse Gaussian kernels
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Inference for Observations of Integrated Diffusion Processes
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Local linear regression smoothers and their minimax efficiencies
• Local multiplicative bias correction for asymmetric kernel density estimators
• Nonparametric Pricing of Interest Rate Derivative Securities
• Nonparametric estimation of second-order stochastic differential equations
• On the rate of convergence of STSD extremes
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Probability density function estimation using gamma kernels

Cited in

(5)

• Bias correction estimation for a continuous-time asset return model with jumps
• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Nonparametric estimation of second-order stochastic differential equations
• A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels

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