Non parametric estimation of the coefficients of ergodic diffusion processes based on high frequency data

Fabienne Comte (1) , Valentine Genon-Catalot (1) , Yves Rozenholc (1)

1 MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc. Non parametric estimation of the coefficients of ergodic diffusion processes based on high frequency data. Statistical Methods for Stochastic Differential Equations, Chapman et Hall, pp.341-379, 2012. ⟨hal-00712769⟩