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Article Dans Une Revue Bernoulli Année : 2007

Penalized nonparametric mean square estimation of the coefficients of diffusion processes

Résumé

We consider a one-dimensional diffusion process (Xt) which is observed at n + 1 discrete times with regular sampling interval ∆. Assuming that (Xt) is strictly stationary, we propose nonparametric estimators of the drift and diffusion coefficients obtained by a penalized least square approach. Our estimators belong to a finite dimensional function space whose dimension is selected by a data-driven method. We provide non asymptotic risk bounds for the estimators. When the sampling interval tends to zero while the number of observations and the length of the observation time interval tend to infinity, we show that our estimators reach the minimax optimal rates of convergence. Numerical results based on exact simulations of diffusion processes are given for several examples of models and enlight the qualities of our estimation algorithms
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Dates et versions

hal-00748947 , version 1 (06-11-2012)

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  • HAL Id : hal-00748947 , version 1

Citer

Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc. Penalized nonparametric mean square estimation of the coefficients of diffusion processes. Bernoulli, 2007, 13 (2), pp.514-543. ⟨hal-00748947⟩
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