Minimax estimation of the diffusion coefficient through irregular samplings

DOI10.1016/S0167-7152(96)00052-1zbMath0872.62080MaRDI QIDQ1359760

Marc Hoffmann

Publication date: 19 October 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

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

Mathematics Subject Classification ID

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models

42C15: General harmonic expansions, frames

Related Items

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

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