Parametric estimation from approximate data: non-Gaussian diffusions
From MaRDI portal
Publication:906937
DOI10.1007/s10955-015-1379-6zbMath1419.62040arXiv1501.05370OpenAlexW2114752479MaRDI QIDQ906937
Robert Azencott, Ilya Timofeyev, Peng Ren
Publication date: 1 February 2016
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.05370
stationary processparametric estimationempirical covariance estimatorsindirect observabilitynon-Gaussian diffusionsoptimal sub-sampling schemes
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Sampling theory, sample surveys (62D05)
Related Items
Diffusion Parameter Estimation for the Homogenized Equation, Realised volatility and parametric estimation of Heston SDEs
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
- Parametric estimation of stationary stochastic processes under indirect observability
- Nonparametric Bayesian inference for ergodic diffusions
- Maximum likelihood drift estimation for multiscale diffusions
- Reconstruction of diffusion using spectral data from time series
- Convergence rates of posterior distributions for Brownian semimartingale models
- Basic properties of strong mixing conditions. A survey and some open questions
- Limit theorems for discretely observed stochastic volatility models
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Spectral methods for identifying scalar diffusions
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Statistical inference for ergodic diffusion processes.
- A priori tests of a stochastic mode reduction strategy
- A note on estimating drift and diffusion parameters from time series
- Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
- Parameter estimation for discretely observed stochastic volatility models
- Analysis of data sets of stochastic systems
- Stochastic mode-reduction in models with conservative fast sub-systems
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Parameter estimation for multiscale diffusions
- Sub-sampling and parametric estimation for multiscale dynamics
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient
- Diffusion Estimation from Multiscale Data by Operator Eigenpairs
- Nonparametric estimation of diffusions: a differential equations approach
- A note on diffusion limits of chaotic skew-product flows
- Estimates on the Fundamental Solution to Heat Flows With Uniformly Elliptic Coefficients
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Two-sided estimates of fundamental solutions of second-order parabolic equations, and some applications
- LINEAR EQUATIONS OF THE SECOND ORDER OF PARABOLIC TYPE
- Estimating stochastic differential equations efficiently by minimum chi-squared
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A mathematical framework for stochastic climate models
- Estimation for discretely observed diffusions using transform functions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Multiscale Methods
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Stochastic models for selected slow variables in large deterministic systems
- Bounds for the fundamental solution of a parabolic equation
- A Tale of Two Time Scales