Liptser, R.; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 1998
We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the...
