On Castellana-Leadbetter's condition for diffusion density estimation

DOI10.1023/A:1009996608986zbMATH Open0958.62078MaRDI QIDQ1567083FDOQ1567083

Authors: A. Yu. Veretennikov 

Publication date: 8 April 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

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zbMATH Keywords

diffusion processergodic estimates

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Cited In (15)

• Root n consistent and optimal density estimators for moving average processes
• On confidence intervals for distribution function and density of ergodic diffusion process
• Local Hölder exponent estimation for multivariate continuous time processes
• Level set and drift estimation from a reflected Brownian motion with drift
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• On unbiased density estimation for ergodic diffusion
• On the functional estimation of multivariate diffusion processes
• Rates of strong uniform convergence of the \(k_T\)-occupation time density estimator
• The normal approximation rate for the drift estimator of multidimensional diffusions
• NONPARAMETRIC STOCHASTIC VOLATILITY
• On invariant distribution function estimation for continuous-time stationary processes
• Piecewise linear density estimation for sampled data
• Adaptive sampling schemes for density estimation
• Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
• Super optimal rates for nonparametric density estimation via projection estimators

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