Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
DOI10.1051/PS/2009016zbMATH Open1395.62257OpenAlexW2005461935MaRDI QIDQ4918488FDOQ4918488
Authors: Dasha Loukianova, Oleg Loukianov, E. Löcherbach 
Publication date: 25 April 2013
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2009016
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Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Cited In (10)
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Penalized nonparametric drift estimation for a multidimensional diffusion process
- Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
- A two-step estimation of diffusion processes using noisy observations
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
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