Nonparametric estimation of scalar diffusions based on low frequency data
- Author
- GOBET, Emmanuel1 ; HOFFMANN, Marc2 ; REISS, Markus3
[1] Ecole Polytechnique, France
[2] Unιversité Paris 7, France
[3] Humboldt-Universität zu Berlin, Germany - Source
Annals of statistics. 2004, Vol 32, Num 5, pp 2223-2253, 31 p ; ref : 1 p.1/4
- CODEN
- ASTSC7
- ISSN
- 0090-5364
- Scientific domain
- Mathematics
- Publisher
- Institute of Mathematical Statistics, Hayward, CA
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Analyse spectrale Chaîne Markov Coefficient diffusion Donnée discrète Estimation densité Estimation erreur Estimation non paramétrique Estimation optimale Fonction propre Méthode statistique Problème inverse Problème mal posé Processus diffusion Taux convergence Temps discret 60Fxx 60J10 62C20 62G05 62G07 62M15 Coefficient dérivé Semigroupe Markov
- Keyword (en)
- Spectral analysis Markov chain Diffusion coefficient Discrete data Density estimation Error estimation Non parametric estimation Optimal estimation Eigenfunction Statistical method Inverse problem Ill posed problem Diffusion process Convergence rate Discrete time Drift coefficient Markov semigroup
- Keyword (es)
- Análisis espectral Cadena Markov Coeficiente difusión Variable discreta Estimación densidad Estimación error Estimación no paramétrica Estimación óptima Función propia Método estadístico Problema inverso Problema mal planteado Proceso difusión Relación convergencia Tiempo discreto Semigrupo Markov
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01G Limit theorems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16263877
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1214/009053604000000797 
https://dx.doi.org/10.1214/009053604000000797
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