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Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths

• Authors : Ella-Mintsa, Eddy-Michel;

Subjects: Nonparametric estimation diffusion process diffusion coefficient least squares contrast repeated observations; Nonparametric estimation; diffusion process

• Source: https://hal.science/hal-04916374 ; 2025.

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Nonparametric estimation of the diffusion coefficient from S.D.E. paths

• Authors : ELLA MINTSA, Eddy;

Subjects: diffusion process; diffusion coefficient; least squares contrast

• Source: https://hal.science/hal-04156441 ; 2024.

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A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation

• Authors : Denis, Christophe; Dion, Charlotte; Martinez, Miguel ...

Subjects: [STAT.ME] Statistics [stat]/Methodology [stat.ME]; least squares contrast AMS Subject Classification: 62G05; [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH]

• Source: Bernoulli. 27

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Nonparametric estimation of the diffusion coefficient from S.D.E. paths

• Authors : ELLA MINTSA, Eddy;

Subjects: Nonparametric estimation; diffusion process; diffusion coefficient

• Source: https://hal.science/hal-04156441 ; 2023.

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A ridge estimator of the drift from discrete repeated observations of the solutions of a stochastic differential equation

• Authors : Denis, Christophe; Dion, Charlotte; Martinez, Miguel ...

Subjects: 62J07; AMS Subject Classification: 62G05; stochastic differential equation

• Source: https://hal.archives-ouvertes.fr/hal-02528092 ; 2020.

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Misparametrization subsets for penalized least squares model selection

• Authors : Guyon, Xavier; Hardouin, Cécile;

Subjects: model selection; misfitting subsets; least squares contrast

• Source: Statistical Inference for Stochastic ProcessesStatistical Inference for Stochastic Processes, 2014, 17 (3), pp.283-294. ⟨10.1007/s11203-014-9100-y⟩Statistical Inference for Stochastic

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Mis-parametrization subsets for a penalized least squares model selection

• Authors : Guyon, Xavier; Hardouin, Cécile;

Subjects: least squares contrast; penalized contrast; model selection

• Source: https://hal.science/hal-00648151 ; 2011.

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Regression function estimation as a partly inverse problem.

• Authors : Comte, F.¹ (AUTHOR) ; Genon-Catalot, V.¹ (AUTHOR)

• Source: Annals of the Institute of Statistical Mathematics. Aug2020, Vol. 72 Issue 4, p1023-1054. 32p.

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Nonparametric estimation of the diffusion coefficient from S.D.E. paths

• Authors : Ella-Mintsa, Eddy

Subjects: Statistics Theory

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Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process

• Authors : Dion, Charlotte; Lemler, Sarah

Subjects: Mathematics - Statistics Theory; Statistics - Applications

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