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From Nonparametric Regression to Statistical Inference for Non-Ergodic Diffusion Processes

By Nicolas Marie

From Nonparametric Regression to Statistical Inference for Non-Ergodic Diffusion Processes

By Nicolas Marie

0 - Default Title
Description
This book is about copies-based nonparametric estimation of the drift function in stochastic differential equations (SDEs) driven by Brownian motion, a jump process, or fractional Brownian motion. While the estimators of the drift function in SDEs are classically computed from one long-time observation of the ergodic stationary solution, here the estimation framework – which is part of functional data analysis – involves multiple copies of the (non-stationary) solution observed over a short-time interval. Two kinds of nonparametric estimators are investigated for SDE models, first presented in the regression framework: the projection least squares estimator and the Nadaraya-Watson estimator. Adaptive procedures are provided for possible applications in statistical learning. Primarily intended for researchers in statistical inference for stochastic processes who are interested in the copies-based observation scheme, the book will also be useful for graduate and PhD students in probability and statistics, thanks to its multiple reminders of the requisite theory, especially the chapter on nonparametric regression.
Product details
Number of Pages:
196
Release Date:
2025-09-27
Publication Date:
2025-09-27
Publisher:
Springer
Languages:
Original: English
ISBN10:
3031956370
ISBN13:
9783031956379
GPSR Manufacturer Reference:
[email protected]
Weight:
463 g
Height:
160 cm
Width:
241 cm
Thickness:
17 cm
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