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.
CitationKutoyants, Yu. A.. "On invariant density estimation for ergodic diffusion processes". SORT, 2004, Vol. 28, núm. 2