The normal approximation rate for the drift estimator of multidimensional diffusions

DOI10.1007/S11203-008-9032-5zbMATH Open1205.62117OpenAlexW2009322591MaRDI QIDQ625296FDOQ625296

Authors Annamaria Bianchi 

Publication date 15 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-008-9032-5

zbMATH Keywords

nonparametric estimationuniform central limit theoremdrift estimationmultidimensional diffusion process

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Almost sure rate of convergence of maximum likelihood estimators for multidimensional diffusions
• Remarks on drift estimation for diffusion processes
• Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
• Semiparametric drift and diffusion estimation for multiscale diffusions
• Maximum likelihood drift estimation for multiscale diffusions
• Estimates for the density of functionals of SDEs with irregular drift
• Local asymptotic mixed normality of approximate maximum likelihood estimator of drift parameters in diffusion model
• scientific article; zbMATH DE number 4030765
• Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
• A note on the asymptotic variance of drift accelerated diffusions

Cites Work

• scientific article; zbMATH DE number 29199 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3578192 (Why is no real title available?)
• scientific article; zbMATH DE number 1240354 (Why is no real title available?)
• scientific article; zbMATH DE number 652291 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• A representation formula for transition probability densities of diffusions and applications
• An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine.
• Asymptotic normality for density kernel estimators in discrete and continuous time
• Bounds for the Mixing Rate in the Theory of Stochastic Equations
• Central limit theorem for an estimator of the variance of a diffusion process in the multidimensional case
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Nonparametric trend coefficient estimation for multidimensional diffusions
• On Castellana-Leadbetter's condition for diffusion density estimation
• On Subexponential Mixing Rate for Markov Processes
• On polynomial mixing bounds for stochastic differential equations
• On smoothed probability density estimation for stationary processes
• On the functional estimation of multivariate diffusion processes
• Probability density estimation from sampled data
• Rates in the CLT for sums of dependent multiindexed random vectors
• Statistical inference for ergodic diffusion processes.
• The Fokker-Planck equation. Methods of solution and applications.

Cited In (4)

• Nonparametric trend coefficient estimation for multidimensional diffusions
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• Improved local approximation for multidimensional diffusions: The G-rates

This page was built for publication: The normal approximation rate for the drift estimator of multidimensional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625296)