Estimating the order of mean-square derivatives with quadratic variations
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DOI: 10.1007/s11203-011-9055-1
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References listed on IDEAS
- Blanke, Delphine & Vial, Céline, 2008. "Assessing the number of mean square derivatives of a Gaussian process," Stochastic Processes and their Applications, Elsevier, vol. 118(10), pages 1852-1869, October.
- Müller-Gronbach, Thomas & Ritter, Klaus, 1997. "Uniform reconstruction of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 69(1), pages 55-70, July.
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Keywords
Inference for Gaussian processes; Locally stationary process; Quadratic variations; Interpolation; 62M; 60G15; 60G17;All these keywords.
JEL classification:
Statistics
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