Non-parametric estimation of the diffusion coefficient from noisy data
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Publication:1757892
DOI10.1007/s11203-012-9072-8zbMath1333.62104OpenAlexW1973290449MaRDI QIDQ1757892
Publication date: 7 November 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-012-9072-8
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Related Items (8)
Estimating functions for noisy observations of ergodic diffusions ⋮ On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ Central limit theorems of range-based estimators for diffusion models ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Nonparametric estimation of jump diffusion models ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps
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