Penalized nonparametric drift estimation in a continuous time one-dimensional diffusion process - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2009

Penalized nonparametric drift estimation in a continuous time one-dimensional diffusion process

Résumé

Let $X$ be a one dimensional positive recurrent diffusion observed in continuous time. Without assuming strict stationarity of the process, we propose a nonparametric estimator of the drift function obtained by penalization. Our estimators belong to a finite-dimensional function space whose dimension is chosen according to the data. Our risk-bounds for the estimator are non-asymptotic and hold in a non-stationary regime.
Fichier principal
Vignette du fichier
finaldrift-12-03-09.pdf (210.31 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00367993 , version 1 (13-03-2009)
hal-00367993 , version 2 (04-04-2009)
hal-00367993 , version 3 (18-09-2009)

Identifiants

  • HAL Id : hal-00367993 , version 1

Citer

Eva Loecherbach, Dasha Loukianova, Oleg Loukianov. Penalized nonparametric drift estimation in a continuous time one-dimensional diffusion process. 2009. ⟨hal-00367993v1⟩
180 Consultations
203 Téléchargements

Partager

Gmail Facebook X LinkedIn More