Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    A pathwise inference method for the parameters of diffusion terms

    Access Status
    Fulltext not available
    Authors
    Dokuchaev, Nikolai
    Date
    2018
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, N. 2018. A pathwise inference method for the parameters of diffusion terms. Journal of Nonparametric Statistics. 29 (4): pp. 731-743.
    Source Title
    Journal of Nonparametric Statistics
    DOI
    10.1080/10485252.2017.1367789
    ISSN
    1048-5252
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/54610
    Collection
    • Curtin Research Publications
    Abstract

    We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analysis of an auxiliary continuous time complex valued process generated by the underlying real valued process. These estimates do not rely on the distribution of the underlying process and on a particular choice of the drift. Some numerical experiments are used to illustrate the feasibility of the suggested method.

    Related items

    Showing items related by title, author, creator and subject.

    • Barium zirconate ceramics for melt processing of barium cuprate superconductors
      Kirby, Nigel Matthew (2003)
      The widespread use of high temperature superconductors through improved understanding of their underlying physics is in part dependent on the synthesis of large, high quality single crystals for physical research. Crucible ...
    • A grounded theory study of the clinical use of the nursing process within selected hospital settings.
      O'Connell, Beverly O. (1997)
      The nursing process is the espoused problem solving framework that forms the basis of the way in which patient care is determined, delivered, and communicated in a multiplicity of health care settings. Although its use ...
    • Size exclusion chromatography as a tool for natural organic matter characterisation in drinking water treatment
      Allpike, Bradley (2008)
      Natural organic matter (NOM), ubiquitous in natural water sources, is generated by biogeochemical processes in both the water body and in the surrounding watershed, as well as from the contribution of organic compounds ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.