Valentine Genon‐Catalot

most citedPenalized nonparametric mean square estimation of the coefficients of diffusion processes

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math.ST2007★ 93 cited

Penalized nonparametric mean square estimation of the coefficients of diffusion processes

Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc

We consider a one-dimensional diffusion process $(X_{t})$ which is observed at $n + 1$ discrete times with regular sampling interval $Δ$ . Assuming that $(X_{t})$ is strictly stationary,…