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

D. Loukianova, O. Loukianov (2008)

Annales de l'I.H.P. Probabilités et statistiques

Usually the problem of drift estimation for a diffusion process is considered under the hypothesis of ergodicity. It is less often considered under the hypothesis of null-recurrence, simply because there are fewer limit theorems and existing ones do not apply to the whole null-recurrent class. The aim of this paper is to provide some limit theorems for additive functionals and martingales of a general (ergodic or null) recurrent diffusion which would allow us to have a somewhat unified approach...

Universally typical sets for ergodic sources of multidimensional data

Tyll Krüger, Guido F. Montúfar, Ruedi Seiler, Rainer Siegmund-Schultze (2013)

Kybernetika

We lift important results about universally typical sets, typically sampled sets, and empirical entropy estimation in the theory of samplings of discrete ergodic information sources from the usual one-dimensional discrete-time setting to a multidimensional lattice setting. We use techniques of packings and coverings with multidimensional windows to construct sequences of multidimensional array sets which in the limit build the generated samples of any ergodic source of entropy rate below an h 0 with...

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