Adaptive estimation of mean and volatility functions in (auto-)regressive models

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Adaptive estimation of the spectrum of a stationary Gaussian sequence (2001, methodology): “Attempts to test the performance of the method described in this paper have already been made by BirgeÂ and Rozenholc (2000) and Comte and Rozenholc (2000).”
Penalized nonparametric mean square estimation of the coefficients of diffusion processes (2007, background): “Now, estimating both drift and diffusion coefficients requires that the sampling interval n tends to zero while n n tends to infinity.”