Adaptive sequential estimation for ergodic diffusion processes in quadratic metric

DOI10.1080/10485252.2010.544307zbMath1359.62123OpenAlexW2110581611MaRDI QIDQ3021188

Leonid I. Galtchouk, Serguei Pergamenchtchikov

Publication date: 22 July 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2010.544307

zbMATH Keywords

model selectionquadratic riskefficient estimationasymptotic boundssequential estimationsharp oracle inequalityadaptive nonparametric estimationnon-asymptotic estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Diffusion processes (60J60) Sequential estimation (62L12)

Related Items

ADAPTIVE ESTIMATION IN A HETEROSCEDASTIC NONPARAMETRIC REGRESSION ⋮ Adaptive efficient analysis for big data ergodic diffusion models ⋮ Geometric ergodicity of affine processes on cones ⋮ Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions ⋮ Geometric ergodicity for classes of homogeneous Markov chains ⋮ Sequential robust estimation for nonparametric autoregressive models ⋮ Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times ⋮ Sequential model selection method for nonparametric autoregression

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