6 papers
On a Universal Strictly Decreasing Nonparametric Estimator Applied to the Drift Function of a Recurrent Diffusion Process Estimation
Nicolas Marie
This paper deals with a copies-based continuously differentiable and strictly decreasing estimator of the drift function for stochastic differential equations defining recurrent di…
Nonparametric Estimation from Correlated Copies of a Drifted Process
Nicolas Marie
This paper presents several situations leading to the observation of multiple correlated copies of a drifted process, and then non-asymptotic risk bounds are established on nonpara…
Nonparametric Estimation in SDE Models Involving an Explanatory Process
Fabienne Comte, Nicolas Marie
This paper deals with the process defined by the stochastic differential equation (SDE) , where is a Brown…
Fixed-Point Estimation of the Drift Parameter in Stochastic Differential Equations Driven by Rough Multiplicative Fractional Noise
Chiara Amorino, Laure Coutin, Nicolas Marie
We investigate the problem of estimating the drift parameter from independent copies of the solution of a stochastic differential equation driven by a multiplicative fractional…
Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes
Nicolas Marie, Ousmane Sacko
This paper deals with a nonparametric Nadaraya-Watson (NW) estimator of the transition density function computed from independent continuous observations of a diffusion process. A…
Multifunction Estimation in a Time-Discretized Skorokhod Reflection Problem
Nicolas Marie
This paper deals with a consistent estimator of the multifunction involved in a time-discretized Skorokhod reflection problem defined by a stochastic differential equation and a Mo…