Adaptive efficient analysis for big data ergodic diffusion models
We consider drift estimation problems for high dimension ergodic diffusion processes in nonparametric setting based on observations at discrete fixed time moments in the case when diffusion coefficients are unknown. To this end on the basis of sequential analysis methods we develop model selection p...
| Published in: | Statistical inference for stochastic processes Vol. 25, № 1. P. 127-158 |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000900724 Перейти в каталог НБ ТГУ |