Nonparametric sequential estimation of the drift in diffusion processes via model selection

zbMATH Open1129.62073MaRDI QIDQ876765FDOQ876765

Authors: Serguei Pergamenchtchikov, L. Galtchouk 

Publication date: 27 April 2007

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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zbMATH Keywords

model selectionminimum contrast estimatorspenalizationdrift estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Cited In (12)

• Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
• Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
• Nonparametric estimation models of the drift vector and the diffusion matrix
• Robust model selection for a semimartingale continuous time regression from discrete data
• Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
• Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
• Adaptive estimation in a heteroscedastic nonparametric regression
• Efficient robust nonparametric estimation in a semimartingale regression model
• Non-parametric estimation in a semimartingale regression model. I: Oracle inequalities
• Nonparametric estimation in a semimartingale regression model. II: Robust asymptotic efficiency
• Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
• Adaptive efficient analysis for big data ergodic diffusion models

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