A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation

DOI10.3150/21-BEJ1327zbMath1504.62123OpenAlexW3015888473WikidataQ114038752 ScholiaQ114038752MaRDI QIDQ1983630

Christophe Denis, Miguel Martinez, Charlotte Dion-Blanc

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/21-bej1327

zbMATH Keywords

stochastic differential equationnonparametric estimationridge estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (5)

Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Nadaraya–Watson estimator for I.I.D. paths of diffusion processes ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ On a projection least squares estimator for jump diffusion processes ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Uses Software

• fda (R)
• ElemStatLearn
• sde

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