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

DOI10.1080/03610926.2023.2234521MaRDI QIDQ6579752zbMATH OpenFDO

Authors Yue Li, Yunyan Wang, Mingtian Tang

Publication date 26 July 2024

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

Full work available at URL https://doi.org/10.1080/03610926.2023.2234521

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A test for model specification of diffusion processes
• Asymmetric kernels for boundary modification in distribution function estimation
• Explicit form of approximate transition probability density functions of diffusion processes
• Inference for Observations of Integrated Diffusion Processes
• Kernel density estimation via diffusion
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Multiplicative bias correction for asymmetric kernel density estimators revisited
• Nonnegative bias reduction methods for density estimation using asymmetric kernels
• Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
• Nonparametric estimation of second-order stochastic differential equations
• On estimating the diffusion coefficient from discrete observations
• On the functional estimation of jump-diffusion models.

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