Nonparametric estimation of scalar diffusions based on low frequency data

Annals of Statistics

Volumn 32, Issue 5, 2004, Pages 2223-2253

  Gobet, Emmanuel ^a,d   Hoffmann, Marc ^b,e   Reiß, Markus ^c  

^a ECOLE POLYTECHNIQUE   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c HUMBOLDT UNIVERSITY   (Germany)

^d CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^e SORBONNE UNIVERSITÉ   (France)

Author keywords

Diffusion processes; Discrete sampling; Ill posed problems; Low frequency data; Nonparametric estimation; Spectral approximation

Indexed keywords

EID: 24344441592     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053604000000797     Document Type: Article

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