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math.ST2021
Detecting Whether a Stochastic Process is Finitely Expressed in a Basis
Neda Mohammadi, Victor M. Panaretos
Is it possible to detect if the sample paths of a stochastic process almost surely admit a finite expansion with respect to some/any basis? The determination is to be made on the b…
math.ST2021★ 7 cited
Nonparametric Estimation for SDE with Sparsely Sampled Paths: an FDA Perspective
Neda Mohammadi, Leonardo Santoro, Victor M. Panaretos
We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on independent replicates $\left\…