Nonparametric drift estimation for i.i.d. paths of stochastic differential equations

DOI10.1214/19-AOS1933zbMath1465.62069OpenAlexW3111739917WikidataQ115240829 ScholiaQ115240829MaRDI QIDQ1996772

Valentine Genon-Catalot, Fabienne Comte

Publication date: 26 February 2021

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1607677238

zbMATH Keywords

model selectiondiffusion processLaguerre basisprojection estimatorsHermite basisnonparametric drift estimation

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (13)

On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ Learning interaction kernels in stochastic systems of interacting particles from multiple trajectories ⋮ 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 ⋮ Nonparametric adaptive estimation for interacting particle systems ⋮ Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective ⋮ On a projection least squares estimator for jump diffusion processes ⋮ A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation ⋮ Nonparametric estimation for i.i.d. paths of fractional SDE ⋮ Nonparametric estimation for interacting particle systems: McKean-Vlasov models ⋮ Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Uses Software

• fda (R)
• sde
• MsdeParEst

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