Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
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Publication:888494
DOI10.3150/14-BEJ655zbMath1342.60132arXiv1411.0515OpenAlexW1906640756MaRDI QIDQ888494
Serguei Pergamenchtchikov, Leonid I. Galtchouk
Publication date: 30 October 2015
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.0515
ergodic diffusion processdiscrete datadrift coefficient estimationnonparametric sequential estimation
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Sequential estimation (62L12)
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Adaptive efficient analysis for big data ergodic diffusion models ⋮ Geometric ergodicity of affine processes on cones ⋮ Geometric ergodicity for classes of homogeneous Markov chains ⋮ Sequential model selection method for nonparametric autoregression
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