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Density Estimation of Levy Measures for Discretely Observed Diffusion Processes with Jumps
consistency discrete observations jump-diffusion kernel density estimation Levy density MSE optimal rate
2009/3/6
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models from some discrete observations. We suppose that the jump term is driven by a Lévy process with finite L...
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Coupling uniform convergence exact simulation linear diffusionprocesses random function SLLN on Banach space
2010/3/18
This paper introduces a Monte Carlo method for maximum likelihood
inference in the context of discretely observed diffusion processes.
The method gives unbiased and a.s. continuous estimators of
th...
Divergences Test Statistics for Discretely Observed Diffusion Processes
diffusion processes empirical level hypotheses testing divergences -divergences
2010/4/30
In this paper we propose the use of -divergences as test statistics to verify
simple hypotheses about a one-dimensional parametric diffusion process
dXt = b(Xt, )dt + (Xt, )dWt, from discrete ob...