Adaptive drift estimation for nonparametric diffusion model.

DOI10.1214/aos/1015951999zbMath1105.62330OpenAlexW1500735010MaRDI QIDQ1848800

Vladimir Spokoiny

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1015951999

zbMATH Keywords

bandwidth selectionnonparametric estimationDrift and diffusion coefficients

Mathematics Subject Classification ID

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

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