Truncated dynamics and estimation of diffusion equations
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Cites work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Encompassing and indirect inference
- scientific article; zbMATH DE number 3701980 (Why is no real title available?)
- Kernel autocorrelogram for time-deformed processes
- Kernel-based nonlinear canonical analysis and time reversibility
- On estimating the diffusion coefficient from discrete observations
- Spectral methods for identifying scalar diffusions
Cited in
(6)- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Kernel-based nonlinear canonical analysis and time reversibility
- Estimation of partial differential equations with applications in finance
- Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
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