Wavelet estimation in diffusions with periodicity

DOI10.1007/S11203-012-9070-XzbMath1333.62110OpenAlexW2015870229MaRDI QIDQ1757897

Michael Diether

Publication date: 7 November 2012

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

Full work available at URL: https://doi.org/10.1007/s11203-012-9070-x

zbMATH Keywords

exponential inequalityMarkov chaindiffusionswavelet estimatormoment inequalityestimation of unknown signalnonparametric rate of convergenceperiodic drift

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (2)

Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean ⋮ Wavelet estimation in diffusions with periodicity

Cites Work

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• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Ten Lectures on Wavelets
• Wavelets and the theory of non-parametric function estimation
• Stochastic Calculus

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