Non parametric estimation of the diffusion coefficient of a diffusion process

DOI10.1080/07362999808809525zbMath0894.62093OpenAlexW2921725978MaRDI QIDQ4385659

Philippe Soulier

Publication date: 10 September 1998

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

Full work available at URL: https://doi.org/10.1080/07362999808809525

zbMATH Keywords

diffusion processdiffusion coefficienttest of linearity

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: hypothesis testing (62M02)

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Cites Work

• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Orthonormal bases of compactly supported wavelets
• On estimating the diffusion coefficient
• Maximnm contrast estimation for diffusion processes from discrete observations
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