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Showing 1 to 1 of 1 for “"drift and diffusion estimation"”.
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Consistency and Convergence of Non-parametric Estimation of Drift and Diffusion Coefficients in SDEs from Long Stationary Time-series
We study the efficiency of non-parametric estimation of stochastic differential equations driven by Brownian motion (i.e. diffusions) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is motivated by the definition of drift and diffusion …