Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155717 | Stochastic Processes and their Applications | 2013 | 19 Pages |
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
L. Galtchouk, S. Pergamenshchikov,