On invariant density estimation for ergodic diffusion processes
We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator.
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| Tipo de documento: | artigo |
| Data de publicação: | 2004 |
| País: | España |
| Recursos: | Universitat Autònoma de Barcelona |
| Repositório: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglês |
| OAI Identifier: | oai:ddd.uab.cat:93943 |
| Acesso em linha: | https://ddd.uab.cat/record/93943 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Ergodic diffusion Density estimation Large sample theory Efficient estimation |
| Resumo: | We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator. |
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