Adaptive estimation in diffusion processes
We study the nonparametric estimation of the coefficients of a 1-dimensional diffusion process from discrete observations. Different asymptotic frameworks are considered. Minimax rates of convergence are studied over a wide range of Besov smoothness classes. We construct estimators based on wavelet thresholding which are adaptive (with respect to an unknown degree of smoothness). The results are comparable with simpler models such as density estimation or nonparametric regression.
Year of publication: |
1999
|
---|---|
Authors: | Hoffmann, Marc |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 79.1999, 1, p. 135-163
|
Publisher: |
Elsevier |
Keywords: | Minimax estimation Adaptive estimation Diffusion processes Discrete observations Nonparametric regression Wavelet orthonormal bases Besov spaces |
Saved in:
Saved in favorites
Similar items by person
-
Hoffmann, Marc, (2024)
-
Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation
Hoffmann, Marc, (2010)
-
Flexible stochastic volatility structures for high frequency financial data
Feldmann, David, (1998)
- More ...