Adaptive estimation for degenerate diffusion processes
نویسندگان
چکیده
We discuss parametric estimation of a degenerate diffusion system from time-discrete observations. The first component the has parameter
منابع مشابه
Moment estimation for ergodic diffusion processes
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an asymptotically efficient estimator of the moment type functional or of a parameter which has a one-to-one correspondence to such a functional. Next, we clarify a higher...
متن کاملRemarks on Drift Estimation for Diffusion Processes
In applications such as molecular dynamics it is of interest to fit Smoluchowski and Langevin equations to data. Practitioners often achieve this by a variety of seemingly ad hoc procedures such as fitting to the empirical measure generated by the data and fitting to properties of autocorrelation functions. Statisticians, on the other hand, often use estimation procedures, which fit diffusion p...
متن کاملAdaptive Drift Estimation for Nonparametric Diffusion Model
We consider a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable. The goal is to estimate the unknown drift coefficient. We apply a locally linear smoother with a data-driven bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor. The results about the quality of estimation are nonasymptot...
متن کاملErgodicity of Langevin Processes with Degenerate Diffusion in Momentums
This paper introduces a geometric method for proving ergodicity of degenerate noise driven stochastic processes. The driving noise is assumed to be an arbitrary Levy process with non-degenerate diffusion component (but that may be applied to a single degree of freedom of the system). The geometric conditions are the approximate controllability of the process the fact that there exists a point i...
متن کاملAdaptive search area for fast motion estimation
In this paper a new method for determining the search area for motion estimation algorithm based on block matching is suggested. In the proposed method the search area is adaptively found for each block of a frame. This search area is similar to that of the full search (FS) algorithm but smaller for most blocks of a frame. Therefore, the proposed algorithm is analogous to FS in terms of reg...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2021
ISSN: ['1935-7524']
DOI: https://doi.org/10.1214/20-ejs1777