Uniform concentration inequality for ergodic diffusion processes observed at discrete times

L. Galtchouk and Sergey Pergamenshchikov ()

Stochastic Processes and their Applications, 2013, vol. 123, issue 1, 91-109

Abstract: In this paper a concentration inequality is proved for the deviation in the ergodic theorem for diffusion processes in the case of discrete time observations. The proof is based on geometric ergodicity of diffusion processes. We consider as an application the nonparametric pointwise estimation problem of the drift coefficient when the process is observed at discrete times.

Keywords: Concentration inequality; Ergodic diffusion processes; Geometric ergodicity; Markov chains; Tail distribution; Upper exponential bound (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414912001974
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:1:p:91-109

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2012.09.004

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().