Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions

DOI10.1214/07-AIHP141zbMATH Open1182.62166arXiv0808.3069MaRDI QIDQ731698FDOQ731698

Authors: D. Kharzeev 

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0808.3069

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zbMATH Keywords

rate of convergenceNadaraya-Watson estimatoradditive functionalsdiffusion processeslimit theoremsHarris recurrencenon-parametric estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Diffusion processes (60J60) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

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Cited In (5)

• On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
• Skew disperson and continuity of local time
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Nonparametric inference for fractional diffusion
• Spectral gaps and exponential integrability of hitting times for linear diffusions

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