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Inference for Convolutionally Observed Diffusion Processes

We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion processes and some kernel functions with respect to time parameter....

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Detalles Bibliográficos
Autores principales: Nakakita, Shogo H, Uchida, Masayuki
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597089/
https://www.ncbi.nlm.nih.gov/pubmed/33286801
http://dx.doi.org/10.3390/e22091031