Nonparametric sequential estimation of the drift in diffusion processes via model selection

zbMath1129.62073MaRDI QIDQ876765

Serguei Pergamenchtchikov, Leonid I. Galtchouk

Publication date: 27 April 2007

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

penalizationmodel selectiondrift estimationminimum contrast estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

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