Spectral estimation for diffusions with random sampling times

DOI10.1016/J.SPA.2016.03.009MaRDI QIDQ311984zbMATH OpenOpenAlexFDO

Authors Jakub Chorowski, Mathias Trabs

Publication date 13 September 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.00466

zbMATH Keywords

nonparametric estimationrandom samplingergodic diffusion processesgeneralized transition operatorLepski's methodminimax optimal convergence rates

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15) Nonparametric inference (62G99)

Abstract: The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet, Hoffmann and Rei{ss} [Ann. Statist. 32 (2006), 2223-2253]. The estimation procedure is optimal in the minimax sense and adaptive with respect to the sampling time distribution and the regularity of the coefficients. The proofs are based on the eigenvalue problem for the generalized transition operator. The finite sample performance is illustrated in a numerical example.

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Cited in

(13)

• Spectral methods for identifying scalar diffusions
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
• A non-parametric estimator of the spectral density of a continuous-time Gaussian process observed at random times
• scientific article; zbMATH DE number 5504703 (Why is no real title available?)
• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
• Spectral thresholding for the estimation of Markov chain transition operators
• Reconstruction of diffusion using spectral data from time series
• Inheritance of strong mixing and weak dependence under renewal sampling
• Efficient estimation for diffusions sampled at high frequency over a fixed time interval
• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
• Spectral estimation of continuous-time stationary processes from random sampling
• Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift

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Uses Software

• JDQR
• JDQZ

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