A family of minimax rates for density estimators in continuous time |
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Authors: | D. Blanke D. Bosq |
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Affiliation: | Laboratoire de Statistique Théorique et Appliquée , Université Pierre et Marie Curie , Paris, France |
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Abstract: | In continuous time, rates of convergence of density estimators fluctuate with the nature of observed sample paths. In this paper, we give a family of rates reached by the kernel estimator and we show that these rates are minimax. Finally, we study applications of these results for specific classes of processes including the Gaussian ones |
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Keywords: | Nonparametric Estimation Intermediate Rate Minimax Rate Continuous Time Process Kernel Density Estimator 60G07 62H12 62M |
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