Approximating the first passage time density from data using generalized Laguerre polynomials
DOI10.1016/j.cnsns.2022.106991zbMath1505.60002arXiv2206.02137OpenAlexW4308929867MaRDI QIDQ2684064
Giuseppe D'Onofrio, Tommaso Martini, Elvira di Nardo
Publication date: 16 February 2023
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.02137
Markov processes: estimation; hidden Markov models (62M05) Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60) General theory of stochastic processes (60G07) Approximations to statistical distributions (nonasymptotic) (62E17)
Uses Software
Cites Work
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