Non-parametric adaptive estimation of the drift for a jump diffusion
process

v1v2 (latest)

Non-parametric adaptive estimation of the drift for a jump diffusion process

12 June 2012

Emeline Schmisser

ArXiv (abs)PDF HTML

Papers citing "Non-parametric adaptive estimation of the drift for a jump diffusion process"

11 / 11 papers shown

Title
Adaptive nonparametric drift estimation for multivariate jump diffusions under sup-norm risk Linqi Zhou 50 0 0 29 Sep 2023
Drift Identification for Lévy alpha-Stable Stochastic Systems Harish S. Bhat 70 1 0 06 Dec 2022
On a Projection Least Squares Estimator for Jump Diffusion Processes H. Halconruy Nicolas Marie 54 1 0 24 Oct 2022
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity Chiara Amorino A. Gloter 80 3 0 02 Mar 2022
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes Chiara Amorino A. Gloter 63 7 0 06 Oct 2021
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process Charlotte Dion Sarah Lemler 122 9 0 17 Apr 2019
Estimation of state-dependent jump activity and drift for Markovian semimartingales Fabian Mies 8 1 0 15 Nov 2018
Bias Correction Estimation for Continuous-Time Asset Return Model with Jumps Yuping Song Ying Chen Zhouwei Wang 8 0 0 14 Feb 2018
Estimating functions for jump-diffusions N. Jakobsen Michael Sørensen 54 5 0 01 Sep 2017
Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models Yuma Uehara 65 11 0 03 Feb 2017
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes H. Mai 74 44 0 12 Mar 2014