Uniform concentration inequality for ergodic diffusion processes observed at discrete times
In this paper a concentration inequality is proved for the deviation in the ergodic theorem for diffusion processes in the case of discrete time observations. The proof is based on geometric ergodicity of diffusion processes. We consider as an application the nonparametric pointwise estimation problem of the drift coefficient when the process is observed at discrete times.
Volume (Year): 123 (2013)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Galtchouk, L. & Pergamenshchikov, S., 2007. "Uniform concentration inequality for ergodic diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 830-839, July.
- L. Galtchouk & S. Pergamenshchikov, 2006. "Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes," Statistical Inference for Stochastic Processes, Springer, vol. 9(1), pages 1-16, 05.
- Dedecker, Jérôme & Doukhan, Paul, 2003. "A new covariance inequality and applications," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 63-80, July.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:123:y:2013:i:1:p:91-109. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.