Improved nonparametric estimation of the drift in diffusion processes
Statistics Theory
2019-09-24 v1 Statistics Theory
Abstract
In this paper, we consider the robust adaptive non parametric estimation problem for the drift coefficient in diffusion processes. An adaptive model selection procedure, based on the improved weighted least square estimates, is proposed. Sharp oracle inequalities for the robust risk have been obtained.
Cite
@article{arxiv.1710.03550,
title = {Improved nonparametric estimation of the drift in diffusion processes},
author = {Evgeny Pchelintsev and Svyatoslav Perelevskiy and Irina Makarova},
journal= {arXiv preprint arXiv:1710.03550},
year = {2019}
}