Minimax estimation of the diffusion coefficient through irregular samplings
From MaRDI portal
Publication:1359760
DOI10.1016/S0167-7152(96)00052-1zbMath0872.62080MaRDI QIDQ1359760
Publication date: 19 October 1997
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00052-1
diffusion process; Besov spaces; linear estimators; minimax rate of convergence; functional estimation; wavelet orthonormal bases; fast wavelets methods; irregular sampling schemes; time dependent diffusion coefficient
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models
42C15: General harmonic expansions, frames
Related Items
Model-adaptive optimal discretization of stochastic integrals, Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient, Adaptive wavelet estimation of the diffusion coefficient under additive error measurements, Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
Cites Work
- Density estimation in Besov spaces
- Random sampling in estimation problems for continuous Gaussian processes with independent increments
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Density estimation by kernel and wavelets methods: optimality of Besov spaces
- Wavelets on the interval and fast wavelet transforms
- Generalizations of Rosenthal's inequalities
- On estimating the diffusion coefficient from discrete observations
- On estimating the diffusion coefficient
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
