|
|||||
|
|
Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes |
|
| Authors: | L. Galtchouk S. Pergamenshchikov |
| Affiliation: | (1) IRMA, Département de Mathématiques, Université de Strasbourg, 7 rue Réne Descartes, Strasbourg, Cedex, France;(2) Laboratoire de Mathématiques Raphael Salem, UMR CNRS 6085, Site Colbert, UFR Sciences, Université de Rouen, F76 821 Mont St Aignan, Cedex, France |
| Abstract: | A sequential asymptotically efficient procedure is constructed for estimating the drift coefficient at a given state point in ergodic diffusion processes. Sequential kernel estimators are used. The optimal convergence rate with the sharp constant is given for a local minimax risk. |
| Keywords: | nonparametric sequential estimation minimax drift ergodic diffusion process efficient procedure |
| 本文献已被 SpringerLink 等数据库收录！ | |