Spectral estimation for diffusions with random sampling times

Jakub Chorowski, Mathias Trabs

Published 2015-03-02Version 1

The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet, Hoffmann and Rei{\ss} [Ann. Statist. 32 (2006), 2223-2253]. The estimation procedure is optimal in the minimax sense and adaptive with respect to the sampling time distribution. The finite sample performance is illustrated in a numerical example.