Clustering of discretely observed diffusion processes

DOI10.1016/j.csda.2009.10.005zbMath1464.62056arXiv0809.3902OpenAlexW2106707672MaRDI QIDQ962291

Stefano Maria Iacus, Alessandro De Gregorio

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.3902

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• R
• fda (R)
• dtw
• sde

Cites Work

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