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

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zbMATH Keywords

nonparametric estimationuniform central limit theoremdrift estimationmultidimensional diffusion process

Mathematics Subject Classification ID

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

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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

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