Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (Q2412765)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise |
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Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (English)
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27 October 2017
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diffusion process
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nonparametric estimation
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discrete observations
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high-frequency observations
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microstructure noise
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pre-averaging
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drift estimation
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Nadaraya-Watson estimator
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