scientific article; zbMATH DE number 177229
The author considers a stochastic process \(X_ \varepsilon(\cdot)\) on \([0,1]\) satisfying the equation: \(dX_ \varepsilon(t)= \sigma(t)dt+ db(t)\), where \(b(\cdot)\) is the standard Wiener process and \(\sigma(\cdot)\) an unknown deterministic function. The minimax theory of adaptive estimation of the mapping \(G(\sigma(\cdot))\), based on observations of a sample path \(X_ \varepsilon(t)\), is developed. A classification of statistical models from the point of view of adaptive estimation is provided. Exact bounds on the accuracy of estimation for the considered models are given. For the entire collection see [Zbl 0754.00005].
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