From Nonparametric Regression to Statistical Inference for Non-Ergodic Diffusion Processes (Frontiers in Probability and the Statistical Sciences)

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From Nonparametric Regression to Statistical Inference for Non-Ergodic Diffusion Processes (Frontiers in Probability and the Statistical Sciences)

Marie, Nicolas

Springer International Publishing AG（2025/10発売）

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製本 Hardcover:ハードカバー版／ページ数 180 p.
言語 ENG
商品コード 9783031956379

Full Description

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.