Variable bandwidth local maximum likelihood type estimation for diffusion processes
type: Item
instance of: scholarly article
title: Variable bandwidth local maximum likelihood type estimation for diffusion processes
zbMATH Open document ID: 1445.62215
published in: Advances in Difference Equations
publication date: 2019-01-17T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G07
zbMATH DE Number: 7002876
zbMATH Keywords: asymptotic normality
zbMATH Keywords: consistency
zbMATH Keywords: robust estimation
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: variable bandwidth
author: Mingtian Tang
author: Yunyan Wang
MaRDI profile type: Publication
full work available at URL: s13662-018-1506-1
OpenAlex ID: W2797015217
cites work: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
cites work: Parameter estimation and bias correction for diffusion processes
cites work: Statistical Inference for Student Diffusion Process
cites work: Statistical inference for reciprocal gamma diffusion process
cites work: On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
cites work: Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
cites work: Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
cites work: Estimation of semiparametric locally stationary diffusion models
cites work: Fully Nonparametric Estimation of Scalar Diffusion Models
cites work: Penalized nonparametric mean square estimation of the coefficients of diffusion processes
cites work: A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
cites work: Empirical likelihood-based inference for nonparametric recurrent diffusions
cites work: REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS
cites work: NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
cites work: Reversible jump MCMC for nonparametric drift estimation for diffusion processes
cites work: On estimating the diffusion coefficient from discrete observations
cites work: Robust regression: Asymptotics, conjectures and Monte Carlo
cites work: On semiparametric \(M\)-estimation in single-index regression
cites work: M-estimation for autoregression with infinite variance
cites work: Variable bandwidth and one-step local \(M\)-estimator
cites work: Robust local polynomial regression for dependent data
cites work: Local M-estimator for nonparametric time series.
cites work: Nonparametric robust function estimation for integrated diffusion processes
cites work: Stochastic differential equations. An introduction with applications.
cites work: Variable bandwidth and local linear regression smoothers
cites work: Q4328415
cites work: Improved variable window kernel estimates of probability densities
cites work: Q4002114
cites work: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
DOI: 10.1186/S13662-018-1506-1
description: scientific article; zbMATH DE number 7002876