Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes
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Publication:995842
DOI10.1007/s11203-005-3248-4zbMath1117.62083MaRDI QIDQ995842
Serguei Pergamenchtchikov, Leonid I. Galtchouk
Publication date: 10 September 2007
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-005-3248-4
62G07: Density estimation
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models
62L12: Sequential estimation
Related Items
Uniform concentration inequality for ergodic diffusion processes, Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions, Asymptotically efficient estimates for nonparametric regression models, Adaptive sequential estimation for ergodic diffusion processes in quadratic metric, Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
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