Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes

DOI10.1081/SQA-200063289MaRDI QIDQ5697359zbMATH OpenFDO

Authors L. Galtchouk, Serguei Pergamenchtchikov

Publication date 17 October 2005

Published in Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencyergodic diffusiondrift estimationnonparametric sequential estimationlocal riskglobal risk

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

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Cites work

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• Local polynomial estimators of the volatility function in nonparametric autoregression
• On Sequential Estimation under the Conditions of Local Asymptotic Normality
• On minimax identification of nonparametric autoregressive models
• Optimal pointwise adaptive methods in nonparametric estimation
• Recursive Estimation in Diffusion Model
• Renormalization and white noise approximation for nonparametric functional estimation problems

Cited in

(19)

• Sequential model selection method for nonparametric autoregression
• Sequential robust estimation for nonparametric autoregressive models
• Adaptive efficient analysis for big data ergodic diffusion models
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression
• A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
• scientific article; zbMATH DE number 4013767 (Why is no real title available?)
• Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
• Geometric ergodicity for classes of homogeneous Markov chains
• Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
• scientific article; zbMATH DE number 3903795 (Why is no real title available?)
• Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
• scientific article; zbMATH DE number 32255 (Why is no real title available?)
• Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
• scientific article; zbMATH DE number 5258064 (Why is no real title available?)
• Nonparametric sequential estimation of the drift in diffusion processes via model selection
• Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
• Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations
• Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes

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