Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
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Abstract: Usually the problem of drift estimation for a diffusion process is considered under the hypothesis of ergodicity. It is less often considered under the hypothesis of null-recurrence, simply because there are fewer limit theorems and existing ones do not apply to the whole null-recurrent class. The aim of this paper is to provide some limit theorems for additive functionals and martingales of a general (ergodic or null) recurrent diffusion which would allow us to have a somewhat unified approach to the problem of non-parametric kernel drift estimation in the one-dimensional recurrent case. As a particular example we obtain the rate of convergence of the Nadaraya--Watson estimator in the case of a locally H"{o}lder-continuous drift.
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Cited in
(5)- Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
- Skew disperson and continuity of local time
- Nonparametric inference for fractional diffusion
- On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
- Spectral gaps and exponential integrability of hitting times for linear diffusions
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