Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
Work
Year: 2023
Type: article
Abstract: We aim at estimating in a non-parametric way the density π of the stationary distribution of a d-dimensional stochastic differential equation (Xt)t∈[0,T], for d≥2, from the discrete observations of a ... more
Source: Statistics
Authors Chiara Amorino, Arnaud Gloter
Institutions University of Luxembourg, Université Paris-Saclay, Université d'Évry Val-d'Essonne, Laboratoire de Mathématiques, Centre National de la Recherche Scientifique
Cites: 42
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid