Nonparametric trend coefficient estimation for multidimensional diffusions

Comptes Rendus Mathematique

Volumn 345, Issue 2, 2007, Pages 101-105

  Bianchi, Annamaria ^a  

^a UNIVERSITY OF MILAN   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34447567382     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.crma.2007.05.012     Document Type: Article

References (12)

1. Ait-Sahalia Y. Closed-form likelihood expansions for multivariate diffusions. Preprint available under (2004). http://www.princeton.edu/~yacine/research.htm
2. Blanke D. Sample paths adaptive density estimator. Math. Methods Statist. 13 2 (2004) 123-152
3. Blanke D., and Bosq D. A family of minimax rates for density estimators in continuous time. Stochastic Anal. Appl. 18 6 (2000) 871-900
4. Bosq D. Nonparametric Statistics for Stochastic Processes (1998), Springer-Verlag, New York
5. Capasso V., and Bakstein D. An Introduction to Continuous-Time Stochastic Processes (2005), Birkhäuser, Boston
6. Dalalyan A., and Reiß M. Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case. Preprint available under (2005). http://www.proba.jussieu.fr/pageperso/dalalyan/
7. Kutoyants Yu.A. Statistical Inference for Ergodic Diffusion Processes. Springer Series in Statistics (2004), New York
8. Lucas A. Can we estimate the density's derivative with suroptimal rate?. Statist. Inference Stoch. Process. 1 (1998) 29-41
9. Qian Z., and Zheng W. A representation formula for transition probability densities of diffusions and applications. Stochastic Process. Appl. 111 (2004) 57-76
10. Risken H. The Fokker-Planck Equation (1989), Springer-Verlag, Berlin
11. Veretennikov A.Yu. Bounds for the mixing rate in the theory of stochastic equations. Theory Probab. Appl. 32 2 (1987) 273-281
12. Veretennikov A.Yu. On subexponential mixing rate for Markov processes. Theory Probab. Appl. 49 1 (2005) 110-122