Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
Author:
Affiliation:
1. Department of Economics, University of Mannheim
2. Department of Mathematics, Aarhus University
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference48 articles.
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2. Nickl, R. and Ray, K. (2020). Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions. Ann. Statist. 48 1383–1408.
3. Nickl, R. and Söhl, J. (2019). Bernstein-von Mises theorems for statistical inverse problems II: Compound Poisson processes. Electron. J. Stat. 13 3513–3571.
4. BAKRY, D., CATTIAUX, P. and GUILLIN, A. (2008). Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré. J. Funct. Anal. 254 727–759.
5. POKERN, Y., STUART, A. M. and VAN ZANTEN, J. H. (2013). Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs. Stochastic Process. Appl. 123 603–628.
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1. Consistent inference for diffusions from low frequency measurements;The Annals of Statistics;2024-04-01
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3. Sup-norm adaptive drift estimation for multivariate nonreversible diffusions;The Annals of Statistics;2022-12-01
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