Drift estimation for a multi-dimensional diffusion process using deep neural networks (Q6123258)

scientific article; zbMATH DE number 7812480

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English	Drift estimation for a multi-dimensional diffusion process using deep neural networks	scientific article; zbMATH DE number 7812480

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instance of

scholarly article

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title

Drift estimation for a multi-dimensional diffusion process using deep neural networks (English)

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Stochastic Processes and their Applications

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publication date

4 March 2024

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full work available at URL

https://arxiv.org/abs/2112.13332

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zbMATH Keywords

deep learning

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least squares estimation

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minimax estimation

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nonparametric drift estimation

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oracle inequality

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MaRDI profile type

MaRDI publication profile

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cites work

ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES

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Inequalities for a Pair of Processes Stopped at a Random Time

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On deep learning as a remedy for the curse of dimensionality in nonparametric regression

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A deep network construction that adapts to intrinsic dimensionality beyond the domain

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Drift estimation on non compact support for diffusion models

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Penalized nonparametric mean square estimation of the coefficients of diffusion processes

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Sharp adaptive estimation of the drift function for ergodic diffusions

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Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

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Mixing Conditions for Markov Chains

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Data driven time scale in Gaussian quasi-likelihood inference

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Deep Neural Network Approximation Theory

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Nonparametric estimation of scalar diffusions based on low frequency data

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Yet Another Look at Harris’ Ergodic Theorem for Markov Chains

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On the minimax optimality and superiority of deep neural network learning over sparse parameter spaces

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Adaptive estimation in diffusion processes.

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Ergodic behavior of Markov processes. With applications to limit theorems

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Statistical inference for ergodic diffusion processes.

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Generalization bounds for non-stationary mixing processes

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Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

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Q4522393

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Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes

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Q5148959

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Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions

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Misspecified diffusion models with high-frequency observations and an application to neural networks

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Nonconvex Sparse Regularization for Deep Neural Networks and Its Optimality

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Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.

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Comparison theorem and estimates for transition probability densities of diffusion processes

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Nonparametric regression using deep neural networks with ReLU activation function

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Penalized nonparametric drift estimation for a multidimensional diffusion process

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Non parametric estimation of the diffusion coefficients of a diffusion with jumps

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Adaptive drift estimation for nonparametric diffusion model.

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Sharp adaptive drift estimation for ergodic diffusions: the multivariate case

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Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions

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Multidimensional diffusion processes.

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Optimization for deep learning: an overview

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Estimation error analysis of deep learning on the regression problem on the variable exponent Besov space

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Introduction to nonparametric estimation

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High-Dimensional Probability

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Some Limit Theorems for Random Functions. I

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Rates of convergence for empirical processes of stationary mixing sequences

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Identifiers

arXiv ID

2112.13332

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DOI

10.1016/j.spa.2023.104240

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6123258