Adaptive sequential estimation for ergodic diffusion processes in quadratic metric

DOI10.1080/10485252.2010.544307zbMath1359.62123MaRDI QIDQ3021188

Leonid I. Galtchouk, Serguei Pergamenchtchikov

Publication date: 22 July 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2010.544307

zbMATH Keywords

model selection; quadratic risk; efficient estimation; asymptotic bounds; sequential estimation; sharp oracle inequality; adaptive nonparametric estimation; non-asymptotic estimation

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

60J60: Diffusion processes

62L12: Sequential estimation

Related Items

Sequential model selection method for nonparametric autoregression, Geometric ergodicity for classes of homogeneous Markov chains, Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times, Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions, Adaptive efficient analysis for big data ergodic diffusion models, Geometric ergodicity of affine processes on cones, Sequential robust estimation for nonparametric autoregressive models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sharp adaptive estimation of the drift function for ergodic diffusions
• Uniform concentration inequality for ergodic diffusion processes
• Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
• Risk bounds for model selection via penalization
• On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• Improved model selection method for a regression function with dependent noise
• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
• Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
• Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
• Gaussian model selection