Non parametric estimation of transition density for second-order diffusion processes

DOI10.1080/03610926.2023.2234521MaRDI QIDQ6579752FDOQ6579752

Mingtian Tang, Yunyan Wang, Yue Li

Publication date: 26 July 2024

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Kernel density estimation via diffusion
• Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On the functional estimation of jump-diffusion models.
• Nonnegative bias reduction methods for density estimation using asymmetric kernels
• On estimating the diffusion coefficient from discrete observations
• A test for model specification of diffusion processes
• Explicit form of approximate transition probability density functions of diffusion processes
• Inference for Observations of Integrated Diffusion Processes
• Nonparametric estimation of second-order stochastic differential equations
• Multiplicative bias correction for asymmetric kernel density estimators revisited
• Title not available (Why is that?)

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