Inference on the variance and smoothing of the paths of diffusions

Gonzalo Perera; Mario Wschebor

Annales de l'I.H.P. Probabilités et statistiques (2002)

  • Volume: 38, Issue: 6, page 1009-1022
  • ISSN: 0246-0203

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Perera, Gonzalo, and Wschebor, Mario. "Inference on the variance and smoothing of the paths of diffusions." Annales de l'I.H.P. Probabilités et statistiques 38.6 (2002): 1009-1022. <http://eudml.org/doc/77734>.

@article{Perera2002,
author = {Perera, Gonzalo, Wschebor, Mario},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {inference on variance; central limit theorem; diffusion coefficients},
language = {eng},
number = {6},
pages = {1009-1022},
publisher = {Elsevier},
title = {Inference on the variance and smoothing of the paths of diffusions},
url = {http://eudml.org/doc/77734},
volume = {38},
year = {2002},
}

TY - JOUR
AU - Perera, Gonzalo
AU - Wschebor, Mario
TI - Inference on the variance and smoothing of the paths of diffusions
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2002
PB - Elsevier
VL - 38
IS - 6
SP - 1009
EP - 1022
LA - eng
KW - inference on variance; central limit theorem; diffusion coefficients
UR - http://eudml.org/doc/77734
ER -

References

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  1. [1] J.-M. Azaïs, Approximation des trajectoires et temps local des diffusions, Ann. Inst. H. Poincaré Probab. Statist.25 (2) (1989) 175-194. Zbl0674.60032MR1001025
  2. [2] J.-M. Azaïs, M. Wschebor, Oscillation presque sûre de martingales continues, in: Séminaire de Probabilités XXXI, Lecture Notes in Mathematics, 1655, Springer, 1997, pp. 69-76. Zbl0882.60018MR1478717
  3. [3] C. Berzin, J.R. León, Weak convergence of the integrated number of level crossings to the local time of the Wiener process, C. R. Acad. Sci. Paris, Sér. I319 (1994) 1311-1316. Zbl0812.60069MR1310678
  4. [4] D. Dacunha-Castelle, D. Florens-Zmirou, Estimation of the coefficient of a diffusion from discrete observations, Stochastics19 (1986) 263-284. Zbl0626.62085MR872464
  5. [5] D. Florens-Zmirou, On estimating the diffusion coefficient from discrete observations, J. Appl. Probab.30 (1993) 790-804. Zbl0796.62070MR1242012
  6. [6] V. Génon-Catalot, J. Jacod, On the estimation of the diffusion coefficient for multidimensional diffusion processes, Ann. Inst. H. Poincaré Probab. Statist.29 (1993) 119-151. Zbl0770.62070MR1204521
  7. [7] M. Hoffmann, Lp estimation of the diffusion coefficient, Bernoulli5 (3) (1999) 447-481. Zbl0980.62073MR1693608
  8. [8] J. Jacod, Rates of convergence to the local time of a diffusion, Ann. Inst. H. Poincaré Probab. Statist.34 (4) (1998) 505-544. Zbl0911.60055MR1632849
  9. [9] J. Jacod, Non-parametric kernel estimation of the diffusion coefficient of a diffusion, Scand. J. Statist.27 (1) (2000) 83-96. Zbl0938.62085MR1774045
  10. [10] D. Nualart, M. Wschebor, Intégration par parties dans l'espace de Wiener et approximation du temps local, Probab. Theory Related Fields90 (1991) 83-109. Zbl0727.60052MR1124830
  11. [11] G. Perera, M. Wschebor, Crossings and occupation measures for a class of semimartingales, Ann. Probab.26 (1) (1998) 253-266. Zbl0943.60019MR1617048

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