Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels

DOI10.1080/03610926.2012.756915zbMath1344.60056OpenAlexW2021310871MaRDI QIDQ5265876

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Publication date: 29 July 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.756915

zbMATH Keywords

stochastic differential equationsdiffusionsnon-parametric estimationasymmetric kernels

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (4)

Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns ⋮ A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps

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• Local Linear Estimation of Recurrent Jump—Diffusion Models
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