Spectral estimation for diffusions with random sampling times

DOI10.1016/j.spa.2016.03.009zbMath1345.62117arXiv1503.00466OpenAlexW2963247453MaRDI QIDQ311984

Mathias Trabs, Jakub Chorowski

Publication date: 13 September 2016

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

Full work available at URL: https://arxiv.org/abs/1503.00466

zbMATH Keywords

random samplingnonparametric estimationergodic diffusion processesgeneralized transition operatorLepski's methodminimax optimal convergence rates

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Nonparametric inference (62G99)

Related Items

Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift ⋮ Inheritance of strong mixing and weak dependence under renewal sampling ⋮ Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies ⋮ Adaptive invariant density estimation for ergodic diffusions over anisotropic classes ⋮ Spectral thresholding for the estimation of Markov chain transition operators

Uses Software

• JDQR
• JDQZ

Cites Work

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