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Non trivial optimal sampling rate for estimating a Lipschitz-continuous function in presence of mean-reverting Ornstein-Uhlenbeck noise
We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by sampling the path of the process. Due to the time varying nature of the drift we propose an estimation procedure that involves an online, time-varying …