Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
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Cites work
- Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
- Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
- Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
- Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
- Gaussian model selection
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 2212144 (Why is no real title available?)
- Improved model selection method for a regression function with dependent noise
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
- Risk bounds for model selection via penalization
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
- Uniform concentration inequality for ergodic diffusion processes
Cited in
(18)- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Adaptive estimation for degenerate diffusion processes
- Adaptive efficient analysis for big data ergodic diffusion models
- Geometric ergodicity of affine processes on cones
- Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
- Sequential robust estimation for nonparametric autoregressive models
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- Geometric ergodicity for classes of homogeneous Markov chains
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Adaptive estimation in a heteroscedastic nonparametric regression
- Sequential model selection method for nonparametric autoregression
- Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- Adaptive efficient robust sequential analysis for autoregressive big data models
- Truncated sequential guaranteed estimation for the Cox-Ingersoll-Ross models
- On parameter estimation of diffusion-type processes: sequential estimation revisited
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
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