Uniform concentration inequality for ergodic diffusion processes observed at discrete times

Details Uniform concentration inequality for ergodic diffusion processes observed at discrete times Uniform concentration inequality for ergodic diffusion processes observed at discrete times

2011-09-15

arxiv.org/abs/1109.3406v1

Mathematics

Probability

Scientific paper

In this paper a concentration inequality is proved for the deviation in the
ergodic theorem in the case of discrete time observations of diffusion
processes. The proof is based on the geometric ergodicity property for
diffusion processes. As an application we consider the nonparametric pointwise
estimation problem for the drift coefficient under discrete time observations.

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