Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

14 May 2021

Papers citing "Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes"

13 / 13 papers shown

Title
Empirical risk minimization algorithm for multiclass classification of S.D.E. paths Christophe Denis Eddy Ella Mintsa 66 0 0 18 Mar 2025
$Fast convergence rates for estimating the stationary density in SDEs driven by a fractional Brownian motion with semi-contractive drift$ Fast convergence rates for estimating the stationary density in SDEs driven by a fractional Brownian motion with semi-contractive drift Chiara Amorino Eulalia Nualart Fabien Panloup Julian Sieber 36 0 0 28 Aug 2024
Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes Nicolas Marie Amélie Rosier 25 0 0 29 Feb 2024
On a Computable Skorokhod's Integral Based Estimator of the Drift Parameter in Fractional SDE Nicolas Marie 27 3 0 13 Jan 2023
Nonparametric plug-in classifier for multiclass classification of S.D.E. paths Christophe Denis Charlotte Dion‐Blanc Eddy Ella‐Mintsa Viet Chi Tran 16 2 0 20 Dec 2022
Nonparametric Drift Estimation from Diffusions with Correlated Brownian Motions Fabienne Comte Nicolas Marie 37 4 0 24 Oct 2022
On a Projection Least Squares Estimator for Jump Diffusion Processes H. Halconruy Nicolas Marie 29 1 0 24 Oct 2022
Parameter estimation of discretely observed interacting particle systems Chiara Amorino A. Heidari Vytaut.e Pilipauskait.e M. Podolskij 39 22 0 25 Aug 2022
Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime Chiara Amorino A. Gloter 35 2 0 05 Aug 2022
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity Chiara Amorino A. Gloter 34 3 0 02 Mar 2022
Nonparametric Estimation for I.I.D. Paths of a Martingale Driven Model with Application to Non-Autonomous Financial Models Nicolas Marie 21 2 0 29 Oct 2021
Nonparametric Estimation for SDE with Sparsely Sampled Paths: an FDA Perspective Neda Mohammadi Leonardo P. M. Santoro V. Panaretos 24 4 0 27 Oct 2021
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes Chiara Amorino A. Gloter 16 7 0 06 Oct 2021