Strong consistency of nonparametric kernel estimators for integrated diffusion process

DOI10.1080/03610926.2022.2148540MaRDI QIDQ6541114FDOQ6541114

Shi Zhang, Shanchao Yang, Xin Yang, Guo-Dong Xing

Publication date: 17 May 2024

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

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60)

Cites Work

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• Fully Nonparametric Estimation of Scalar Diffusion Models
• Nonparametric adaptive estimation for integrated diffusions
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• LAMN property for hidden processes: the case of integrated diffusions
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
• Inference for Observations of Integrated Diffusion Processes
• Nonparametric estimation of second-order stochastic differential equations
• Local Linear Estimation of Second-Order Diffusion Models
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Re-weighted functional estimation of second-order diffusion processes

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