Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
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Publication:2023465
DOI10.1007/s11203-020-09213-5zbMath1469.62220arXiv1904.08232OpenAlexW3022047392MaRDI QIDQ2023465
Publication date: 3 May 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.08232
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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