Penalized nonparametric drift estimation for a multidimensional diffusion process
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Cites work
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- Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
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- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- Adaptive estimation of the transition density of a Markov chain
- Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
- Bounds for the Mixing Rate in the Theory of Stochastic Equations
- Criteria for recurrence and existence of invariant measures for multidimensional diffusions
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Efficient and fast spline-backfitted kernel smoothing of additive models
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- Model selection for (auto-)regression with dependent data
- On the Poisson equation and diffusion approximation. I
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Statistical inference for ergodic diffusion processes.
- Time-reversible diffusions
Cited in
(19)- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Drift estimation on non compact support for diffusion models
- Adaptive estimation for degenerate diffusion processes
- Nonparametric Bayesian inference for reversible multidimensional diffusions
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Bidimensional random effect estimation in mixed stochastic differential model
- A two-step estimation of diffusion processes using noisy observations
- Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Drift estimation for a multi-dimensional diffusion process using deep neural networks
- Nonparametric moment method for scalar McKean-Vlasov stochastic differential equations
- Uniformly asymptotic normality of estimation of the drift function for diffusion processes
- Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes
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