Inference on the variance and smoothing of the paths of diffusions. (Statistique sur la variance et régularisation des trajectoires de diffusions)

DOI10.1016/S0246-0203(02)01126-3zbMath1011.62083OpenAlexW1597968859MaRDI QIDQ1863433

Gonzalo Perera, Mario Wschebor

Publication date: 11 March 2003

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2002__38_6_1009_0

zbMATH Keywords

central limit theoremdiffusion coefficientsinference on variance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (3)

Smoothing and occupation measures of stochastic processes ⋮ Asymptotics for theL^p-deviation of the variance estimator under diffusion ⋮ Approximation of the occupation measure of Lévy processes

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