Recursive Estimation in Diffusion Model

DOI10.1137/0319043MaRDI QIDQ3931282zbMATH OpenOpenAlexFDO

Authors G. J. F. Banon, Hung T. Nguyen

Publication date 1981

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0319043

zbMATH Keywords

asymptotic properties of the estimatorsasymptotically uncorrelated processdiffusion modelnonlinear identificationone dimensional observation processrecursive estimates of Yamato typestationary Markov processstrong consistencyWiener process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited in

(13)

• Nonparametric Gaussian inference for stable processes
• A selective overview of nonparametric methods in financial econometrics
• Super optimal rates for nonparametric density estimation via projection estimators
• Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
• On the rate of convergence of recursive kernel estimates of probability densities
• Optimal asymptotic quadratic error of nonparametric regression function estimates for a continuous-time process from sampled-data
• A family of minimax rates for density estimators in continuous time
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Penalized least squares estimation with weakly dependent data
• Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
• Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes

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