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Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
Minimum contrast estimators low frequency data high frequency data epidemic data
2012/6/21
We consider a multidimensional diffusion X with drift coefficient b({\alpha},X(t)) and diffusion coefficient {\epsilon}{\sigma}({\beta},X(t)). The diffusion is discretely observed at times t_k=k{\Delt...
IDENTIFYING THE SUCCESSIVE BLUMENTHAL–GETOOR INDICES OF A DISCRETELY OBSERVED PROCESS
IDENTIFYING THE SUCCESSIVE BLUMENTHAL–GETOOR INDICES A DISCRETELY OBSERVED PROCESS
2014/3/13
This paper studies the identification of the Lévy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal–Getoor indices of jump activity, and show that the leading index ...
The best gradient approximation to an observed function
gradient operator best approximation Sobolev spaces
2010/9/13
We wish to find the potential function whose gradient best approximates an observed square integrable function. With an appropriate choice of topology we show that the gradient operator is a bounded l...