Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
多元非可逆扩散的上确界范数自适应漂移估计
We consider the question of estimating the drift for a large class of ergodic multivariate and possibly nonreversible diffusion processes, based on continuous observations, in sup-norm loss. Nonparametric classes of smooth functions of unknown order are considered, and we suggest an adaptive approach which allows to construct drift estimators attaining optimal sup-norm rates of convergence. Reversibility structures and related functional inequalities are known to be key…