{
  "id": "1503.00466",
  "version": "v1",
  "published": "2015-03-02T10:13:37.000Z",
  "updated": "2015-03-02T10:13:37.000Z",
  "title": "Spectral estimation for diffusions with random sampling times",
  "authors": [
    "Jakub Chorowski",
    "Mathias Trabs"
  ],
  "comment": "26 pages, 2 figures",
  "categories": [
    "math.ST",
    "math.PR",
    "stat.ME",
    "stat.TH"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-03-02T10:13:37.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "62M05",
      "60J60",
      "62G99",
      "62M15"
    ],
    "keywords": [
      "random sampling times",
      "spectral estimation",
      "finite sample performance",
      "random time points",
      "drift coefficient"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 26,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150300466C"
    }
  }
}