Local linear estimator for fractional diffusions
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 1066377 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 850217 (Why is no real title available?)
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Choosing a kernel regression estimator. With comments and a rejoinder by the authors
- Controlled differential equations as Young integrals: a simple approach
- Design-adaptive Nonparametric Regression
- Differential equations driven by fractional Brownian motion
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
- Ergodic theory for SDEs with extrinsic memory
- Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
- Ergodicity of stochastic differential equations driven by fractional Brownian motion
- Ergodicity of the infinite dimensional fractional Brownian motion
- Estimation in models driven by fractional Brownian motion
- Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Multivariate locally weighted least squares regression
- Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
- Nonparametric estimation in fractional SDE
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
- Nonparametric inference for fractional diffusion
- On inference for fractional differential equations
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Robust Locally Weighted Regression and Smoothing Scatterplots
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical aspects of the fractional stochastic calculus
- Statistical inference for ergodic diffusion processes.
- Statistical inference for fractional diffusion processes
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic differential equations and applications.
- Stochastic partial differential equations. A modeling, white noise functional approach
- The Malliavin Calculus and Related Topics
- The rate of convergence of Hurst index estimate for the stochastic differential equation
- Variable bandwidth and local linear regression smoothers
- Variance estimator for fractional diffusions with variance and drift depending on time
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