Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient

By Arnaud Gloter. 2000

61 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Computational Theory and Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/242742315214adc54a3348f9ded68ffdcd8d3e8a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Fabienne Comte
2. Valentine Genon-Catalot
3. Yves Rozenholc
4. Peter Hall
5. Jing Lei
6. Markus Reiß

In Computational Theory and Mathematics

1. Arnaud Gloter

In Finance

1. Fabienne Comte
2. Valentine Genon-Catalot
3. Yves Rozenholc
4. Arnaud Gloter
5. Christian M. Hafner
6. Helmut Herwartz
7. Christian Francq
8. Jean-Michel Zakoian

Citations in the corpus

• Parameter Estimation for a Discretely Observed Integrated Diffusion Process (2006, methodology): “=X i (see (2)) proved in Gloter (2000).”
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes (2007, background): “Now, [A1] ( i ) ensures that for all t ≥ 0, h > 0, and k ≥ 1, there exists c = c ( k, γ ) such that where F t = σ ( X s , s ≤ t ) (see e.g. Gloter (2000), Proposition A).”