The normal approximation rate for the drift estimator of multidimensional diffusions

被引：0
|
作者：
Bianchi A. [1 ]
机构：
[1] Department of Mathematics, Statistics, Computer Science and Appplications, Bergamo University, 24127 Bergamo
来源：
Statistical Inference for Stochastic Processes | 2009年 / 12卷 / 3期
关键词：
Drift estimation; Multidimensional diffusion process; Nonparametric estimation; Uniform central limit theorem;
D O I：
10.1007/s11203-008-9032-5
中图分类号：
学科分类号：
摘要：
We consider the problem of the density and drift estimation by the observation of a trajectory of an ℝd-dimensional homogeneous diffusion process with a unique invariant density. We construct estimators of the kernel type based on discretely sampled observations and study their asymptotic distribution. An estimate of the rate of normal approximation is given. © Springer Science+Business Media B.V. 2009.
引用
收藏
页码：251 / 268
页数：17
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