91 citations · 585 across the 27 of their papers we have counts for
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math.ST2005★ 63 cited
Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
Arnak Dalalyan, Markus Reiss
Asymptotic local equivalence in the sense of Le Cam is established for inference on the drift in multidimensional ergodic diffusions and an accompanying sequence of Gaussian shift…
math.ST2005★ 84 cited
Nonparametric estimation of scalar diffusions based on low frequency data
Emmanuel Gobet, Marc Hoffmann, Markus Reiss
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{nΔ},n=0,1,...,N. The sampling frequency Δ^{-1} is cons…