Estimation of the diffusion coefficient from crossings

DOI10.1023/A:1009927813898zbMath0980.62071OpenAlexW1531869078MaRDI QIDQ1962691

Danielle Florens

Publication date: 6 March 2002

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

Full work available at URL: https://doi.org/10.1023/a:1009927813898

zbMATH Keywords

discretizationdiffusionslocal timecrossings

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Two consistent estimators for the skew Brownian motion ⋮ Specification tests for univariate diffusions ⋮ Brownian meanders, importance sampling and unbiased simulation of diffusion extremes ⋮ Transformation invariant stochastic catastrophe theory

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