Fabienne Comte

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

93 citations · 140 across the 2 of their papers we have counts for

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math.ST2009★ 47 cited

Adaptive estimation of linear functionals in the convolution model and applications

C. Butucea, F. Comte

We consider the model $Z_{i} = X_{i} + ε_{i}$ , for i.i.d. $X_{i}$ 's and $ε_{i}$ 's and independent sequences $(X_{i})_{i \in N}$ and $(\varepsilon_i)_{i\in{\mathbb{N}}}…

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,…