5 papers
Nonparametric estimation of the diffusion coefficient of an ergodic diffusion process on non-compact supports under Osgood's conditions
Eddy-Michel Ella-Mintsa
In this paper, we study the nonparametric estimation of the squared diffusion coefficient of an ergodic diffusion process on non-compact supports, when the two coefficients of the…
Minimax convergence rates of a binary plug-in type classification procedure for time-homogeneous SDE paths under low-noise conditions
Eddy Michel Ella-Mintsa
The study of minimax convergence rates for classification procedures adapted to SDE paths is rarely addressed in the literature. Only one paper established optimal convergence rate…
Minimax convergence rates of a binary classification procedure for time-homogeneous SDE paths
Eddy Michel Ella Mintsa
In the context of binary classification of trajectories generated by time-homogeneous stochastic differential equations, we consider a mixture of two diffusion processes characteri…
Nonparametric estimation of the diffusion coefficient from S.D.E. paths
Eddy Ella-Mintsa
Consider a diffusion process X=(X_t), with t in [0,1], observed at discrete times and high frequency, solution of a stochastic differential equation whose drift and diffusion coeff…
Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths
Eddy Michel Ella Mintsa
Consider a diffusion process X, solution of a time-homogeneous stochastic differential equation. We assume that the diffusion process X is observed at discrete times, at high frequ…