Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes

6 October 2021

Papers citing "Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes"

17 / 17 papers shown

Title
Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes Nicolas Marie Amélie Rosier 46 20 0 14 May 2021
Optimal convergence rates for the invariant density estimation of jump-diffusion processes Chiara Amorino Eulalia Nualart 27 8 0 21 Jan 2021
On the nonparametric inference of coefficients of self-exciting jump-diffusion Chiara Amorino Charlotte Dion A. Gloter Sarah Lemler 44 5 0 24 Nov 2020
Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes Chiara Amorino 18 8 0 24 Nov 2020
Rate of Estimation for the Stationary Distribution of Stochastic Damping Hamiltonian Systems with Continuous Observations S. Delattre A. Gloter Nakahiro Yoshida 20 7 0 28 Jan 2020
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes Chiara Amorino A. Gloter 50 12 0 21 Jan 2020
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes Chiara Amorino A. Gloter 19 13 0 24 Apr 2019
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process Charlotte Dion Sarah Lemler 92 9 0 17 Apr 2019
Nonparametric estimation for linear SPDEs from local measurements R. Altmeyer M. Reiß 24 37 0 16 Mar 2019
Concentration of scalar ergodic diffusions and some statistical implications Cathrine Aeckerle Claudia Strauch 45 14 0 30 Jul 2018
Contrast function estimation for the drift parameter of ergodic jump diffusion process Chiara Amorino A. Gloter 28 24 0 24 Jul 2018
Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process Hiroki Masuda 53 33 0 24 Aug 2016
Estimator selection: a new method with applications to kernel density estimation C. Lacour P. Massart Vincent Rivoirard 60 57 0 18 Jul 2016
Adaptive estimation over anisotropic functional classes via oracle approach O. Lepski 46 35 0 18 May 2014
Non-parametric adaptive estimation of the drift for a jump diffusion process Emeline Schmisser 93 33 0 12 Jun 2012
Bandwidth selection in kernel density estimation: Oracle inequalities and adaptive minimax optimality A. Goldenshluger O. Lepski 322 245 0 06 Sep 2010
Penalized nonparametric mean square estimation of the coefficients of diffusion processes Fabienne Comte V. Genon‐Catalot Y. Rozenholc 108 107 0 30 Aug 2007