Nicolas Marie

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20112023

most citedNadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

23 citations · 172 across the 27 of their papers we have counts for

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Showing 2022Show all

2 papers · 1 filter

math.ST2022★ 5 cited

Nonparametric Drift Estimation from Diffusions with Correlated Brownian Motions

Fabienne Comte, Nicolas Marie

In the present paper, we consider that $N$ diffusion processes $X^{1}, \dots, X^{N}$ are observed on $[0, T]$ , where $T$ is fixed and $N$ grows to infinity. Contrary to most of the recent…

math.ST2022★ 2 cited

On a Projection Least Squares Estimator for Jump Diffusion Processes

Hélène Halconruy, Nicolas Marie

This paper deals with a projection least squares estimator of the drift function of a jump diffusion process $X$ computed from multiple independent copies of $X$ observed on $[0,T]…