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Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process

Eva Löcherbach, Dasha Loukianova, Oleg Loukianov (2011)

ESAIM: Probability and Statistics

Let X be a one dimensional positive recurrent diffusion continuously observed on [0,t] . We consider a non parametric estimator of the drift function on a given interval. Our estimator, obtained using a penalized least square approach, belongs to a finite dimensional functional space, whose dimension is selected according to the data. The non-asymptotic risk-bound reaches the minimax optimal rate of convergence when t → ∞. The main point of our work is that we do not suppose the process to be in...

Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process

Eva Löcherbach, Dasha Loukianova, Oleg Loukianov (2012)

ESAIM: Probability and Statistics

Let X be a one dimensional positive recurrent diffusion continuously observed on [0,t] . We consider a non parametric estimator of the drift function on a given interval. Our estimator, obtained using a penalized least square approach, belongs to a finite dimensional functional space, whose dimension is selected according to the data. The non-asymptotic risk-bound reaches the minimax optimal rate of convergence when t → ∞. The main point of our work is that we do not suppose the process to be in...

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