Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
DOI10.1051/ps/2016017zbMath1357.62198arXiv1412.7103OpenAlexW1578369061MaRDI QIDQ2954245
Publication date: 12 January 2017
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.7103
diffusionfunctional central limit theoremergodic Markov chainstationary densityLepski's methoddrift estimationadaptive confidence bands
Central limit and other weak theorems (60F05) Nonparametric tolerance and confidence regions (62G15) Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05) Diffusion processes (60J60)
Related Items (6)
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