Maximum penalized quasi-likelihood estimation of the diffusion function

DOI10.1080/14697688.2011.615212zbMath1277.91200arXiv1008.2421OpenAlexW2159016557MaRDI QIDQ2866380

Constantinos Kardaras, Jeff Hamrick, Yifei Huang, Murad S. Taqqu

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2421

zbMATH Keywords

diffusionsnonparametric estimationpenalized quasi-likelihood

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Diffusion processes (60J60) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Estimating the diffusion coefficient function for a diversified world stock index ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

Cites Work

• Testing diffusion processes for non-stationarity
• Asymptotics for M-type smoothing splines
• \(L_p\) estimation of the diffusion coefficient
• Adaptive estimation in diffusion processes.
• Nonparametric estimation of scalar diffusions based on low frequency data
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Asymptotic analysis of penalized likelihood and related estimators
• On Computing Robust Splines and Applications
• Nonparametric Identification for Diffusion Processes
• On estimating the diffusion coefficient from discrete observations
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Fully Nonparametric Estimation of Scalar Diffusion Models

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