Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
type: Item
instance of: scholarly article
title: Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
zbMATH Open document ID: 1465.62069
DOI: 10.1214/19-AOS1933
author: V. Genon-Catalot
author: F. Comte
published in: The Annals of Statistics
publication date: 2021-02-26T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aos/1607677238
review text: \(N\) independent stochastic processes (\(X_i(t)\), \(t\in [0,T ]\)), \(i = 1,\dots,N\), defined by a one-dimensional stochastic differential equation, which are continuously observed throughout a time interval \([0,T]\) where \(T\) is fixed, are considered. Nonparametric estimation of the drift function is examined. Upper bounds of risks are defined, the assumptions are discussed and simulation experiments are observed.
reviewed by: Rózsa Horváth-Bokor
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7315913
zbMATH Keywords: diffusion process
zbMATH Keywords: Hermite basis
zbMATH Keywords: Laguerre basis
zbMATH Keywords: model selection
zbMATH Keywords: nonparametric drift estimation
zbMATH Keywords: projection estimators
Wikidata QID: Q115240829
describes a project that uses: MsdeParEst
describes a project that uses: fda (R)
describes a project that uses: sde
MaRDI profile type: Publication
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OpenAlex ID: W3111739917
description: scientific article; zbMATH DE number 7315913