Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes
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Publication:1856452
zbMath1005.62070MaRDI QIDQ1856452
Leonid I. Galtchouk, Serguei Pergamenchtchikov
Publication date: 10 February 2003
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)
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Adaptive efficient analysis for big data ergodic diffusion models ⋮ Uniform concentration inequality for ergodic diffusion processes ⋮ Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions ⋮ Sequential robust estimation for nonparametric autoregressive models ⋮ Nonparametric Bayesian inference for ergodic diffusions ⋮ Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions ⋮ Sharp adaptive estimation of the drift function for ergodic diffusions
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