We consider a nonparametric diffusion process whose drift and
diffusion coefficients are nonparametric functions of the state variable. The
goal is to estimate the unknown drift coefficient.We apply a locally linear
smoother with a data-driven bandwidth choice. The procedure is fully adaptive
and nearly optimal up to a log log factor. The results about the quality
of estimation are nonasymptotic and do not require any ergodic or mixing
properties of the observed process.
Publié le : 2000-05-14
Classification:
Drift and diffusion coefficients,
nonparametric estimation,
bandwidth selection,
62G05,
62M99
@article{1015951999,
author = {Spokoiny, Vladimir G.},
title = {Adaptive drift estimation for nonparametric diffusion
model},
journal = {Ann. Statist.},
volume = {28},
number = {3},
year = {2000},
pages = { 815-836},
language = {en},
url = {http://dml.mathdoc.fr/item/1015951999}
}
Spokoiny, Vladimir G. Adaptive drift estimation for nonparametric diffusion
model. Ann. Statist., Tome 28 (2000) no. 3, pp. 815-836. http://gdmltest.u-ga.fr/item/1015951999/