Diffusion approximation for nonparametric autoregression

DOI10.1007/s004400050199zbMath1053.62556OpenAlexW1965605615MaRDI QIDQ1281420

Michael Nussbaum, Grigori N. Milstein

Publication date: 1998

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050199

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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