Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
DOI10.1080/03610926.2012.756915zbMATH Open1344.60056OpenAlexW2021310871MaRDI QIDQ5265876FDOQ5265876
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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
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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)
Cites Work
- Local linear regression smoothers and their minimax efficiencies
- Title not available (Why is that?)
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
- Density estimation using inverse and reciprocal inverse Gaussian kernels
- Probability density function estimation using gamma kernels
- Nonparametric Pricing of Interest Rate Derivative Securities
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Local multiplicative bias correction for asymmetric kernel density estimators
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Inference for Observations of Integrated Diffusion Processes
- On the Rate of Convergence of STSD Extremes
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Nonparametric estimation of second-order stochastic differential equations
- A note on the performance of the gamma kernel estimators at the boundary
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
Cited In (4)
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
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