Drift estimation on non compact support for diffusion models

DOI10.1016/j.spa.2021.01.001zbMath1473.62290OpenAlexW2939841395MaRDI QIDQ2021393

Valentine Genon-Catalot, Fabienne Comte

Publication date: 27 April 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2021.01.001

zbMATH Keywords

model selectionstochastic differential equationsdiscrete time observationnonparametric drift estimationmean square estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items

Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Nadaraya–Watson estimator for I.I.D. paths of diffusion processes ⋮ Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ Regression function estimation on non compact support in an heteroscesdastic model ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models ⋮ Sup-norm adaptive drift estimation for multivariate nonreversible diffusions

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