ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES

DOI10.1017/S0266466617000305zbMath1393.62036OpenAlexW2755902306MaRDI QIDQ4569588

Federico M. Bandi, Guillermo Moloche

Publication date: 26 June 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000305

zbMATH Keywords

functional estimationnonparametric estimationHarris recurrencemultivariate diffusion processesNadaraya-Watson kernel

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (15)

A simple approach to the parametric estimation of potentially nonstationary diffusions ⋮ Estimation of partial differential equations with applications in finance ⋮ NONPARAMETRIC STOCHASTIC VOLATILITY ⋮ Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case ⋮ Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model ⋮ Reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ The normal approximation rate for the drift estimator of multidimensional diffusions ⋮ Learning interacting particle systems: Diffusion parameter estimation for aggregation equations ⋮ Stationarity-based specification tests for diffusions when the process is nonstationary ⋮ Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ Nonparametric Gaussian inference for stable processes ⋮ Sharp adaptive drift estimation for ergodic diffusions: the multivariate case

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