Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
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- scientific article; zbMATH DE number 1865880
Cites work
- Adaptive Spline Estimates for Nonparametric Regression Models
- Adaptive drift estimation for nonparametric diffusion model.
- An Asymptotically Minimax Regression Estimator in the Uniform Norm up to Exact Constant
- Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
- Identification of Nonstationary Diffusion Model by the Method of Sieves
- Local minimax pointwise estimation of a multivariate density
- Nonparametric Identification for Diffusion Processes
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- Optimal global rates of convergence for nonparametric regression
- Pointwise and sup-norm sharp adaptive estimation of functions on the Sobolev classes
- Recursive Estimation in Diffusion Model
- Spline smoothing in regression models and asymptotic efficiency in \(L_ 2\)
Cited in
(14)- Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
- Sequential robust estimation for nonparametric autoregressive models
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- Uniform concentration inequality for ergodic diffusion processes
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
- Drift estimation from \(\tilde{\rho}\)-mixing sequences
- Sequential model selection method for nonparametric autoregression
- Asymptotically efficient estimates for nonparametric regression models
- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
- Adaptive estimation in a heteroscedastic nonparametric regression
- Kernel-based regression of drift and diffusion coefficients of stochastic processes
- Adaptive efficient analysis for big data ergodic diffusion models
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