Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
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Publication:1930660
DOI10.1214/11-AIHP472zbMATH Open1282.62078arXiv1007.4622MaRDI QIDQ1930660FDOQ1930660
Authors: Axel Munk, M. Hoffmann, Johannes Schmidt-Hieber 
Publication date: 11 January 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We study nonparametric estimation of the diffusion coefficient from discrete data, when the observations are blurred by additional noise. Such issues have been developed over the last 10 years in several application fields and in particular in high frequency financial data modelling, however mainly from a parametric and semiparametric point of view. This paper addresses the nonparametric estimation of the path of the (possibly stochastic) diffusion coefficient in a relatively general setting. By developing pre-averaging techniques combined with wavelet thresholding, we construct adaptive estimators that achieve a nearly optimal rate within a large scale of smoothness constraints of Besov type. Since the diffusion coefficient is usually genuinely random, we propose a new criterion to assess the quality of estimation; we retrieve the usual minimax theory when this approach is restricted to a deterministic diffusion coefficient. In particular, we take advantage of recent results of Reiss [33] of asymptotic equivalence between a Gaussian diffusion with additive noise and Gaussian white noise model, in order to prove a sharp lower bound.
Full work available at URL: https://arxiv.org/abs/1007.4622
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