Nonparametric drift estimation from ergodic samples

DOI10.1080/10485259508832655zbMath0857.62032OpenAlexW2082499116MaRDI QIDQ3837416

Mounir Arfi

Publication date: 6 March 1997

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259508832655

zbMATH Keywords

stochastic differential equationergodicitydiffusion processkernel-type estimatedrift functionuniform strong consistency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions ⋮ Nonparametric prediction from ergodic samples ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ Estimation of the Diffusion Coefficient Under Strong Mixing ⋮ Nonparametric Gaussian inference for stable processes

Cites Work

• Unnamed Item
• Strong consistent density estimate from ergodic sample
• Weighted sums of certain dependent random variables
• [https://portal.mardi4nfdi.de/wiki/Publication:3038407 Propri�t�s de convergence presque compl�te du pr�dicteur � noyau]
• Asymptotic likelihood theory for diffusion processes

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