93 citations · 100 across the 3 of their papers we have counts for
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stat.ME2007★ 2 cited
Nonparametric estimation for a stochastic volatility model
Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc
Consider discrete time observations (X_{\ellδ})_{1\leq \ell \leq n+1}XdX_t= \sqrt{V_t} dB_tV_t$ a one-dimensional positive diffusion proces…
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 which is observed at discrete times with regular sampling interval . Assuming that is strictly stationary,…