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Journal of Nonparametric Statistics Volume 23, 2011 - Issue 2
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Original Articles

Adaptive sequential estimation for ergodic diffusion processes in quadratic metric

L. I. Galtchouk IRMA, Strasbourg University 7, rue Rene Descartes, 67084, Strasbourg, FranceCorrespondence[email protected]
&
S. M. Pergamenshchikov Laboratoire de Mathématiques Raphael Salem, Avenue de l'Université, BP. 12, Université de Rouen, F76801, Saint Etienne du Rouvray Cedex, France; Department of Mathematics and Mechanics, Tomsk State University, Lenin str. 36, 634041, Tomsk, Russia
Pages 255-285 | Received 17 May 2009, Accepted 08 Nov 2010, Published online: 10 Feb 2011

Citations (9)

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Read on this site (2)

Ouerdia Arkoun, Jean-Yves Brua & Serguei Pergamenchtchikov. (2019) Sequential model selection method for nonparametric autoregression. Sequential Analysis 38:4, pages 437-460.
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Ouerdia Arkoun & Serguei Pergamenchtchikov. (2016) Sequential robust estimation for nonparametric autoregressive models. Sequential Analysis 35:4, pages 489-515.
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Articles from other publishers (7)

Leonid I. Galtchouk & Serge M. Pergamenshchikov. (2021) Adaptive efficient analysis for big data ergodic diffusion models. Statistical Inference for Stochastic Processes 25:1, pages 127-158.
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Ouerdia Arkoun, Jean‐Yves Brua & Serguei Pergamenchtchikov. 2020. Statistical Topics and Stochastic Models for Dependent Data with Applications. Statistical Topics and Stochastic Models for Dependent Data with Applications 139 166 .
Evgeny Pchelintsev & Maria Povzun. (2020) Robust signal processing in nonparametric autoregression. Journal of Physics: Conference Series 1611:1, pages 012060.
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Eberhard Mayerhofer, Robert Stelzer & Johanna Vestweber. (2020) Geometric ergodicity of affine processes on cones. Stochastic Processes and their Applications 130:7, pages 4141-4173.
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L.I. Galtchouk & S.M. Pergamenshchikov. (2015) Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions. Bernoulli 21:4.
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L. Galtchouk & S. Pergamenshchikov. (2014) Geometric ergodicity for classes of homogeneous Markov chains. Stochastic Processes and their Applications 124:10, pages 3362-3391.
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L. Galtchouk & S. Pergamenshchikov. (2013) Uniform concentration inequality for ergodic diffusion processes observed at discrete times. Stochastic Processes and their Applications 123:1, pages 91-109.
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