Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions

DOI10.1214/07-AIHP141zbMath1182.62166arXiv0808.3069MaRDI QIDQ731698

D. Kharzeev

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.3069

zbMATH Keywords

rate of convergenceNadaraya-Watson estimatoradditive functionalsdiffusion processeslimit theoremsHarris recurrencenon-parametric estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Diffusion processes (60J60) Large deviations (60F10) Sample path properties (60G17)

Related Items (4)

Nonparametric inference for fractional diffusion ⋮ On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions ⋮ Spectral gaps and exponential integrability of hitting times for linear diffusions ⋮ Skew disperson and continuity of local time

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