Fully Nonparametric Estimation of Scalar Diffusion Models
Year of publication: |
2001-09
|
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Authors: | Bandi, Federico M. ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Diffusion | Drift | Infill asymptotics | Kernel density | Local time | Long span asymptotics | Martingale | Nonparametric estimation | Semimartingale | Stochastic differential equation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1050. Published in Econometrica (2003), 71(1): 241-283 The price is None Number 1332 47 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models |
Source: |
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