Estimation of local smoothness coefficients for continuous time processes

DOI10.1023/A:1013726523753zbMath1005.62075OpenAlexW1523327234MaRDI QIDQ1600684

Delphine Blanke

Publication date: 16 June 2002

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013726523753

zbMATH Keywords

simulationsa.s. rates of convergenceHoelder exponentsampling times

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99) Sample path properties (60G17)

Related Items (5)

Local Hölder exponent estimation for multivariate continuous time processes ⋮ Optimal and superoptimal convergence rate of the local linear estimator of nonparametric regression function in continuous time ⋮ NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH ⋮ Optimal sampling for density estimation in continuous time ⋮ Estimation of the local regularity index of a sample path

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