Sharp minimax estimation of the variance of Brownian motion corrupted with Gaussian noise

MaRDI QIDQ3580581zbMATH OpenFDO

Authors Axel Munk, Johannes Schmidt-Hieber, T. Tony Cai

Publication date 13 August 2010

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J20N3/J20N32/J20N32.html

zbMATH Keywords

asymptotic normalityvariance estimationminimaxBrownian motiondeconvolutionstatistical inverse problemsoracle estimatorspectral estimators

Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes (62M99) Minimax procedures in statistical decision theory (62C20) Brownian motion (60J65)

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Cited in

(5)

• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
• A note on a Wiener process with measurement error
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements

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