Публикации

The estimation of the diffusion matrix Σ of a high-dimensional, possibly time-changed Levy process is studied, based on discrete observations of the process with a fixed distance. A low-rank condition is imposed on Σ. Applying a spectral approach, we construct a weighted least-squares estimator with nuclear-norm-penalisation. We prove oracle inequalities and derive convergence rates for the diffusion matrix estimator. The convergence rates show a surprising dependency on the rank of Σ and are optimal in the minimax sense for fixed dimensions. Theoretical results are illustrated by a simulation study.

In this spaper, our aim is to revisit the nonparametric estimation of a square integrable density f on R, by using projection estimators on a Hermite basis. These estimators are studied from the point of view of their mean integrated squared error on R. A model selection method is described and proved to perform an automatic bias variance compromise. Then, we present another collection of estimators, of deconvolution type, for which we define another model selection strategy. Although the minimax asymptotic rates of these two types of estimators are mainly equivalent, the complexity of the Hermite estimators is usually much lower than the complexity of their deconvolution (or kernel) counterparts. These results are illustrated through a small simulation study.