Nonparametric estimation of scalar diffusions based on low frequency data

DOI10.1214/009053604000000797zbMath1056.62091arXivmath/0503680OpenAlexW3103093032MaRDI QIDQ1766134

Emmanuel Gobet, Marc Hoffmann, Markus Reiss

Publication date: 28 February 2005

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503680

zbMATH Keywords

spectral estimation ill-posed problems diffusion processes discrete sampling low frequency data spetral approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Markov semigroups and applications to diffusion processes (47D07) Nonparametric inference (62G99)

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