Penalized nonparametric drift estimation for a multidimensional diffusion process
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Publication:5299463
DOI10.1080/02331888.2011.591931zbMath1440.62321OpenAlexW2041614880MaRDI QIDQ5299463
Publication date: 25 June 2013
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2011.591931
Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity ⋮ Bidimensional random effect estimation in mixed stochastic differential model ⋮ Adaptive estimation for stochastic damping Hamiltonian systems under partial observation ⋮ Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Non-parametric adaptive estimation of the drift for a jump diffusion process ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation ⋮ Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions
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