Penalized nonparametric drift estimation for a multidimensional diffusion process
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Publication:5299463
DOI10.1080/02331888.2011.591931zbMATH Open1440.62321OpenAlexW2041614880MaRDI QIDQ5299463FDOQ5299463
Authors: Emeline Schmisser 
Publication date: 25 June 2013
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2011.591931
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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Cited In (16)
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Bidimensional random effect estimation in mixed stochastic differential model
- Nonparametric Bayesian inference for reversible multidimensional diffusions
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Drift estimation on non compact support for diffusion models
- Adaptive estimation for degenerate diffusion processes
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- A two-step estimation of diffusion processes using noisy observations
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
- Drift estimation for a multi-dimensional diffusion process using deep neural networks
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