On invariant density estimation for ergodic diffusion processes

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Document typeArticle
Defense date2004
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
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Attribution-NonCommercial-NoDerivs 2.5 Spain
Abstract
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
ISSN1696-2281
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