Sharp adaptive drift estimation for ergodic diffusions: the multivariate case

DOI10.1016/j.spa.2015.02.003zbMath1314.62196OpenAlexW2011778315MaRDI QIDQ2348295

Claudia Strauch

Publication date: 11 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.spa.2015.02.003

zbMATH Keywords

ergodic diffusionsharp minimax adaptivityminimax drift estimationPinsker's constant

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (9)

A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise ⋮ Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Drift estimation on non compact support for diffusion models ⋮ Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations ⋮ Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions ⋮ Sup-norm adaptive drift estimation for multivariate nonreversible diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Linear and convex aggregation of density estimators
• Sharp adaptive estimation of the drift function for ergodic diffusions
• Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
• Probability and moment inequalities for sums of weakly dependent random variables, with applications
• Nonlinear principal components and long-run implications of multivariate diffusions
• Statistical inference for ergodic diffusion processes.
• Comparison theorem and estimates for transition probability densities of diffusion processes
• Tanaka formula for multidimensional Brownian motions
• Oracle inequalities for inverse problems
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• On the second order minimax estimation of distribution functions
• Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré
• Global properties of invariant measures
• Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
• Central limit theorems for additive functionals of ergodic Markov diffusions processes
• Nonparametric Identification for Diffusion Processes
• A Generalization of Khasminskii's Theorem on the Existence of Invariant Measures for Locally Integrable Drifts
• Diffusions and Elliptic Operators
• ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES
• Introduction to nonparametric estimation

This page was built for publication: Sharp adaptive drift estimation for ergodic diffusions: the multivariate case