We consider the problem of the density and drift estimation by the observation of a trajectory of an Rd dimensional homogeneous diffusion process with a unique invariant density. We construct estimators of the kernel type and study the mean-square and almost sure uniform asymptotic behavior for these estimators. Finally, we give a class of processes satisfying our assumptions.
(2007). Nonparametric trend coefficient estimation for multidimensional diffusions [journal article - articolo]. In COMPTES RENDUS MATHÉMATIQUE. Retrieved from http://hdl.handle.net/10446/227569
Nonparametric trend coefficient estimation for multidimensional diffusions
Bianchi, Annamaria
2007-01-01
Abstract
We consider the problem of the density and drift estimation by the observation of a trajectory of an Rd dimensional homogeneous diffusion process with a unique invariant density. We construct estimators of the kernel type and study the mean-square and almost sure uniform asymptotic behavior for these estimators. Finally, we give a class of processes satisfying our assumptions.File allegato/i alla scheda:
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