Article ID Journal Published Year Pages File Type
1155717 Stochastic Processes and their Applications 2013 19 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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