Nonparametric sequential estimation of the drift in diffusion processes via model selection
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Publication:876765
zbMATH Open1129.62073MaRDI QIDQ876765FDOQ876765
Serguei Pergamenchtchikov, L. Galtchouk
Publication date: 27 April 2007
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)
Cited In (8)
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- ADAPTIVE ESTIMATION IN A HETEROSCEDASTIC NONPARAMETRIC REGRESSION
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust model selection for a semimartingale continuous time regression from discrete data
- Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
- Efficient robust nonparametric estimation in a semimartingale regression model
- Adaptive efficient analysis for big data ergodic diffusion models
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