Minimax rates of density estimators for continuous time processes

MaRDI QIDQ2736761zbMATH OpenFDO

Authors Denis Bosq

Publication date 11 September 2001

Published in Sankhyā. Series A. Methods and Techniques (Search for Journal in Brave)

zbMATH Keywords

continuous time processeskernel density estimatorminimax rates

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

Cited in

(6)

• A minimax optimal estimator for continuous monotone densities
• Super optimal rates for nonparametric density estimation via projection estimators
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• Minimax rates for conditional density estimation via empirical entropy
• Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes

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