Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
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Cites work
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- Adaptive drift estimation for nonparametric diffusion model.
- Asymptotic equivalence of nonparametric regression and white noise
- Asymptotic minimaxity of a sequential estimator for a first order autoregressive model
- Efficient density estimation for ergodic diffusion processes
- Exponential families of stochastic processes
- LAN in Problems of Nonparametric Estimation of Functions and Lower Bounds for Quadratic Risks
- 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)- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Geometric ergodicity for classes of homogeneous Markov chains
- scientific article; zbMATH DE number 5258064 (Why is no real title available?)
- scientific article; zbMATH DE number 3903795 (Why is no real title available?)
- Sequential robust estimation for nonparametric autoregressive models
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
- Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression
- scientific article; zbMATH DE number 4013767 (Why is no real title available?)
- Sequential model selection method for nonparametric autoregression
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- 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
- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
- 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?)
- Adaptive efficient analysis for big data ergodic diffusion models
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