Nonparametric drift estimation from diffusions with correlated Brownian motions
From MaRDI portal
Publication:6051079
DOI10.1016/j.jmva.2023.105222arXiv2210.13173MaRDI QIDQ6051079
Publication date: 19 September 2023
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2210.13173
Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Multivariate analysis (62Hxx)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the stability and accuracy of least squares approximations
- Estimating asset correlations from stock prices or default rates -- which method is superior?
- User-friendly tail bounds for sums of random matrices
- Regression function estimation as a partly inverse problem
- Estimator selection: a new method with applications to kernel density estimation
- Nonparametric adaptive estimation for pure jump Lévy processes
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Drift estimation on non compact support for diffusion models
- Nonparametric estimation for interacting particle systems: McKean-Vlasov models
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Semiparametric estimation of McKean-Vlasov SDEs
- Model selection for regression on a random design
- An Inequality for Hermite Polynomials
- Model selection for (auto-)regression with dependent data
- Consistent procedures for multiclass classification of discrete diffusion paths
- Stochastic Evolution Equations in Portfolio Credit Modelling
- Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
This page was built for publication: Nonparametric drift estimation from diffusions with correlated Brownian motions
