Sharp adaptive drift estimation for ergodic diffusions: the multivariate case

DOI10.1016/j.spa.2015.02.003zbMath1314.62196MaRDI QIDQ2348295

Claudia Strauch

Publication date: 11 June 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.02.003

zbMATH Keywords

ergodic diffusion; sharp minimax adaptivity; minimax drift estimation; Pinsker's constant

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

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