Sharp adaptive estimation of the drift function for ergodic diffusions
遍历扩散过程漂移函数的精确自适应估计
The global estimation problem of the drift function is considered for a large class of ergodic diffusion processes. The unknown drift S(⋅) is supposed to belong to a nonparametric class of smooth functions of order k≥1, but the value of k is not known to the statistician. A fully data-driven procedure of estimating the drift function is proposed, using the estimated risk minimization method. The sharp adaptivity of this procedure is proven up to an optimal constant, when the…