Minimax estimation of the diffusion coefficient through irregular samplings

DOI10.1016/S0167-7152(96)00052-1zbMath0872.62080OpenAlexW2063058400MaRDI QIDQ1359760

Marc Hoffmann

Publication date: 19 October 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00052-1

zbMATH Keywords

diffusion processBesov spaceslinear estimatorsminimax rate of convergencefunctional estimationwavelet orthonormal basesfast wavelets methodsirregular sampling schemestime dependent diffusion coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) General harmonic expansions, frames (42C15)

Related Items (4)

Model-adaptive optimal discretization of stochastic integrals ⋮ Adaptive wavelet estimation of the diffusion coefficient under additive error measurements ⋮ Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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• Wavelets on the interval and fast wavelet transforms
• Generalizations of Rosenthal's inequalities
• On estimating the diffusion coefficient from discrete observations
• On estimating the diffusion coefficient

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