Estimation of the diffusion coefficient under strong mixing

被引：0

作者：

Arfi, M ^{[1
]}

Lecoutre, JP ^{[1
]}

机构：

[1] Univ Paris 06, UPRESA Stat & Modeles Aleatoires 7055, F-75252 Paris 05, France

来源：

STATISTICS | 1999年 / 33卷 / 01期

关键词：

diffusion coefficient; kernel estimate; strong mixing;

D O I：

10.1080/02331889908802682

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider an estimate of the diffusion coefficient which arises in a stochastic differential equation, defining a certain time-continuous process. The used equation is: d(X)t = sigma(X-t)dW(t), t is an element of R+ where (W-t; t is an element of R+) is a standard Brownian motion and sigma is the diffusion coefficient. We obtain the pointwise and uniform almost sure consistency for the kernel estimate of the diffusion coefficient under a strong mixing condition.

引用

页码：73 / 84

页数：12

共 50 条

[41] Estimation of the volatility diffusion coefficient for a stochastic volatility model
Gloter, A
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 2000, 330 (03): : 243 - 248
[42] DIFFUSION COEFFICIENT ESTIMATION DIFFICULTIES AT THE BEGINNING OF DRYING EXPERIMENT
Aboltins, Aivars
Rubina, Tatjana
Jotautiene, Egle
16TH INTERNATIONAL SCIENTIFIC CONFERENCE: ENGINEERING FOR RURAL DEVELOPMENT, 2017, : 1327 - 1332
[43] Estimation of the glucosa diffusion coefficient in human eye selera
Bashkatov, AN
Genina, EA
Sinichkin, YP
Kochubei, VI
Lakodina, NA
Tuchin, VV
BIOFIZIKA, 2003, 48 (02): : 309 - 313
[44] ESTIMATION OF DIFFUSION-COEFFICIENT FROM SORPTION MEASUREMENTS
BRUNOVSKA, A
BRUNOVSKY, P
ILAVSKY, J
CHEMICAL ENGINEERING SCIENCE, 1977, 32 (07) : 717 - 722
[45] Nonparametric Bayesian estimation of a Holder continuous diffusion coefficient
Gugushvili, Shota
van der Meulen, Frank
Schauer, Moritz
Spreij, Peter
BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2020, 34 (03) : 537 - 579
[46] EFFECT OF SAMPLING ON THE ESTIMATION OF THE APPARENT COEFFICIENT OF DIFFUSION IN MRI
Aja-Fernandez, Santiago
Pena-Nogales, Oscar
de Luis-Garcia, Rodrigo
2017 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP), 2017, : 896 - 899
[47] Numerical estimation of the Robin coefficient in a stationary diffusion equation
Jin, Bangti
Zou, Jun
IMA JOURNAL OF NUMERICAL ANALYSIS, 2010, 30 (03) : 677 - 701
[48] Nonparametric estimation of the diffusion coefficient of stochastic volatility models
Reno, Roberto
ECONOMETRIC THEORY, 2008, 24 (05) : 1174 - 1206
[49] Estimation for stochastic differential equations with a small diffusion coefficient
Gloter, Arnaud
Sorensen, Michael S.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2009, 119 (03) : 679 - 699
[50] Estimation of surface diffusion coefficient in liquid phase adsorption
Miyabe, K
Takeuchi, S
CANADIAN JOURNAL OF CHEMICAL ENGINEERING, 1998, 76 (05): : 887 - 892

← 1 2 3 4 5 →