On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

Valentine Genon-Catalot; Jean Jacod

Annales de l'I.H.P. Probabilités et statistiques (1993)

  • Volume: 29, Issue: 1, page 119-151
  • ISSN: 0246-0203

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Genon-Catalot, Valentine, and Jacod, Jean. "On the estimation of the diffusion coefficient for multi-dimensional diffusion processes." Annales de l'I.H.P. Probabilités et statistiques 29.1 (1993): 119-151. <http://eudml.org/doc/77447>.

@article{Genon1993,
author = {Genon-Catalot, Valentine, Jacod, Jean},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {multidimensional diffusion processes; LAMN property; diffusion coefficient; drift; non-anticipative functional; local asymptotic mixed normality; conditional centered Gaussian variable},
language = {eng},
number = {1},
pages = {119-151},
publisher = {Gauthier-Villars},
title = {On the estimation of the diffusion coefficient for multi-dimensional diffusion processes},
url = {http://eudml.org/doc/77447},
volume = {29},
year = {1993},
}

TY - JOUR
AU - Genon-Catalot, Valentine
AU - Jacod, Jean
TI - On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1993
PB - Gauthier-Villars
VL - 29
IS - 1
SP - 119
EP - 151
LA - eng
KW - multidimensional diffusion processes; LAMN property; diffusion coefficient; drift; non-anticipative functional; local asymptotic mixed normality; conditional centered Gaussian variable
UR - http://eudml.org/doc/77447
ER -

References

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Citations in EuDML Documents

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  1. Shota Gugushvili, Peter Spreij, Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion
  2. Arnaud Gloter, Jean Jacod, Diffusions with measurement errors. I. Local asymptotic normality
  3. Emmanuel Gobet, LAN property for ergodic diffusions with discrete observations
  4. Arnaud Gloter, Jean Jacod, Diffusions with measurement errors. I. Local Asymptotic Normality
  5. Arnaud Gloter, Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
  6. Arnaud Gloter, Jean Jacod, Diffusions with measurement errors. II. Optimal estimators
  7. Masayuki Uchida, Nakahiro Yoshida, Estimation for misspecified ergodic diffusion processes from discrete observations
  8. Arnak Dalalyan, Nakahiro Yoshida, Second-order asymptotic expansion for a non-synchronous covariation estimator
  9. Marc Hoffmann, On estimating the diffusion coefficient : parametric versus nonparametric
  10. Arnaud Gloter, Jean Jacod, Diffusions with measurement errors. II. Optimal estimators

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