Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950678053> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2950678053 abstract "We study nonparametric estimation of the diffusion coefficient from discrete data, when the observations are blurred by additional noise. Such issues have been developed over the last 10 years in several application fields and in particular in high frequency financial data modelling, however mainly from a parametric and semiparametric point of view. This paper addresses the nonparametric estimation of the path of the (possibly stochastic) diffusion coefficient in a relatively general setting. By developing pre-averaging techniques combined with wavelet thresholding, we construct adaptive estimators that achieve a nearly optimal rate within a large scale of smoothness constraints of Besov type. Since the diffusion coefficient is usually genuinely random, we propose a new criterion to assess the quality of estimation; we retrieve the usual minimax theory when this approach is restricted to a deterministic diffusion coefficient. In particular, we take advantage of recent results of Reiss [33] of asymptotic equivalence between a Gaussian diffusion with additive noise and Gaussian white noise model, in order to prove a sharp lower bound." @default.
- W2950678053 created "2019-06-27" @default.
- W2950678053 creator A5002981992 @default.
- W2950678053 creator A5072093269 @default.
- W2950678053 creator A5087767807 @default.
- W2950678053 date "2010-07-27" @default.
- W2950678053 modified "2023-09-27" @default.
- W2950678053 title "Adaptive wavelet estimation of the diffusion coefficient under additive error measurements" @default.
- W2950678053 cites W1533771661 @default.
- W2950678053 cites W1580561995 @default.
- W2950678053 cites W1969606158 @default.
- W2950678053 cites W2021589053 @default.
- W2950678053 cites W2040305816 @default.
- W2950678053 cites W2061820889 @default.
- W2950678053 cites W2063887941 @default.
- W2950678053 cites W2073536536 @default.
- W2950678053 cites W2113883339 @default.
- W2950678053 cites W2128569377 @default.
- W2950678053 cites W2147119515 @default.
- W2950678053 cites W2157296221 @default.
- W2950678053 cites W2182960470 @default.
- W2950678053 cites W3015241628 @default.
- W2950678053 cites W3121487129 @default.
- W2950678053 cites W3122154929 @default.
- W2950678053 cites W3124218550 @default.
- W2950678053 cites W600139552 @default.
- W2950678053 cites W60750267 @default.
- W2950678053 hasPublicationYear "2010" @default.
- W2950678053 type Work @default.
- W2950678053 sameAs 2950678053 @default.
- W2950678053 citedByCount "1" @default.
- W2950678053 crossrefType "posted-content" @default.
- W2950678053 hasAuthorship W2950678053A5002981992 @default.
- W2950678053 hasAuthorship W2950678053A5072093269 @default.
- W2950678053 hasAuthorship W2950678053A5087767807 @default.
- W2950678053 hasConcept C102366305 @default.
- W2950678053 hasConcept C102634674 @default.
- W2950678053 hasConcept C105795698 @default.
- W2950678053 hasConcept C11413529 @default.
- W2950678053 hasConcept C115961682 @default.
- W2950678053 hasConcept C121332964 @default.
- W2950678053 hasConcept C126255220 @default.
- W2950678053 hasConcept C134306372 @default.
- W2950678053 hasConcept C149728462 @default.
- W2950678053 hasConcept C154945302 @default.
- W2950678053 hasConcept C185429906 @default.
- W2950678053 hasConcept C28826006 @default.
- W2950678053 hasConcept C33923547 @default.
- W2950678053 hasConcept C41008148 @default.
- W2950678053 hasConcept C4199805 @default.
- W2950678053 hasConcept C47432892 @default.
- W2950678053 hasConcept C69357855 @default.
- W2950678053 hasConcept C97355855 @default.
- W2950678053 hasConcept C99498987 @default.
- W2950678053 hasConceptScore W2950678053C102366305 @default.
- W2950678053 hasConceptScore W2950678053C102634674 @default.
- W2950678053 hasConceptScore W2950678053C105795698 @default.
- W2950678053 hasConceptScore W2950678053C11413529 @default.
- W2950678053 hasConceptScore W2950678053C115961682 @default.
- W2950678053 hasConceptScore W2950678053C121332964 @default.
- W2950678053 hasConceptScore W2950678053C126255220 @default.
- W2950678053 hasConceptScore W2950678053C134306372 @default.
- W2950678053 hasConceptScore W2950678053C149728462 @default.
- W2950678053 hasConceptScore W2950678053C154945302 @default.
- W2950678053 hasConceptScore W2950678053C185429906 @default.
- W2950678053 hasConceptScore W2950678053C28826006 @default.
- W2950678053 hasConceptScore W2950678053C33923547 @default.
- W2950678053 hasConceptScore W2950678053C41008148 @default.
- W2950678053 hasConceptScore W2950678053C4199805 @default.
- W2950678053 hasConceptScore W2950678053C47432892 @default.
- W2950678053 hasConceptScore W2950678053C69357855 @default.
- W2950678053 hasConceptScore W2950678053C97355855 @default.
- W2950678053 hasConceptScore W2950678053C99498987 @default.
- W2950678053 hasLocation W29506780531 @default.
- W2950678053 hasOpenAccess W2950678053 @default.
- W2950678053 hasPrimaryLocation W29506780531 @default.
- W2950678053 hasRelatedWork W1539888786 @default.
- W2950678053 hasRelatedWork W1873473694 @default.
- W2950678053 hasRelatedWork W1983297245 @default.
- W2950678053 hasRelatedWork W1988882339 @default.
- W2950678053 hasRelatedWork W2006307866 @default.
- W2950678053 hasRelatedWork W2030372153 @default.
- W2950678053 hasRelatedWork W2088633674 @default.
- W2950678053 hasRelatedWork W2121854477 @default.
- W2950678053 hasRelatedWork W2138852572 @default.
- W2950678053 hasRelatedWork W2141589661 @default.
- W2950678053 hasRelatedWork W2749550013 @default.
- W2950678053 hasRelatedWork W2783905818 @default.
- W2950678053 hasRelatedWork W2787454845 @default.
- W2950678053 hasRelatedWork W2897282591 @default.
- W2950678053 hasRelatedWork W2950226926 @default.
- W2950678053 hasRelatedWork W2952094919 @default.
- W2950678053 hasRelatedWork W2962936605 @default.
- W2950678053 hasRelatedWork W2982674893 @default.
- W2950678053 hasRelatedWork W3102595198 @default.
- W2950678053 hasRelatedWork W3124085038 @default.
- W2950678053 isParatext "false" @default.
- W2950678053 isRetracted "false" @default.
- W2950678053 magId "2950678053" @default.
- W2950678053 workType "article" @default.