Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes

DOI10.1081/SQA-200063289zbMath1081.62058MaRDI QIDQ5697359

Serguei Pergamenchtchikov, Leonid I. Galtchouk

Publication date: 17 October 2005

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencyergodic diffusiondrift estimationnonparametric sequential estimationlocal riskglobal risk

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Related Items (9)

Adaptive efficient analysis for big data ergodic diffusion models ⋮ Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Geometric ergodicity for classes of homogeneous Markov chains ⋮ Sequential robust estimation for nonparametric autoregressive models ⋮ Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression ⋮ Adaptive sequential estimation for ergodic diffusion processes in quadratic metric ⋮ Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes ⋮ Sequential model selection method for nonparametric autoregression

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