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title:
Sharp adaptive drift estimation for diffusions in higher dimension |
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name:
Strauch |
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first name:
Claudia
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location/conference:
SPP-JT12
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PRESENTATION-link:
http://www.dfg-spp1324.de/nuhagtools/event_NEW/dateien/SPP-JT12/talks/Strauch-jt12.pdf |
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abstract:
We investigate the problem of adaptive estimation of the drift of a diffusion process from a statistical point of view. The diffusion is assumed to be given as a weak solution of an Itô stochastic differential equation. Exact data-driven procedures both for global and pointwise estimation are proposed, attaining the optimal constant under natural smoothness conditions on the drift. The sharp results in particular reflect the influence of the diffusion matrix on the problem of drift estimation. We briefly indicate its behavior in higher dimension and discuss practical consequences of our results. |
