Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
DOI10.1081/SQA-200063289zbMATH Open1081.62058MaRDI QIDQ5697359FDOQ5697359
Authors: L. Galtchouk, Serguei Pergamenchtchikov 
Publication date: 17 October 2005
Published in: Sequential Analysis (Search for Journal in Brave)
Recommendations
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asymptotic efficiencyergodic diffusiondrift estimationnonparametric sequential estimationlocal riskglobal risk
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)
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Cited In (17)
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- Geometric ergodicity for classes of homogeneous Markov chains
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- Sequential robust estimation for nonparametric autoregressive models
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression
- Title not available (Why is that?)
- 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
- Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
- Nonparametric sequential estimation of the drift in diffusion processes via model selection
- Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
- Title not available (Why is that?)
- Adaptive efficient analysis for big data ergodic diffusion models
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