292 citations · 770 across the 46 of their papers we have counts for
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math.ST2010★ 2 cited
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
Marc Hoffmann, Axel Munk, Johannes Schmidt-Hieber
We study nonparametric estimation of the diffusion coefficient from discrete data, when the observations are blurred by additional noise. Such issues have been developed over the l…
math.ST2010
Lower bounds for volatility estimation in microstructure noise models
Axel Munk, Johannes Schmidt-Hieber
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous volatility if the diffusion type part cannot be observed directly but under some additiona…