Stationary distribution function estimation for ergodic diffusion process
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Publication:1281925
DOI10.1023/A:1009997126882zbMath1061.62553MaRDI QIDQ1281925
Publication date: 22 April 1999
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items (12)
On confidence intervals for distribution function and density of ergodic diffusion process ⋮ Goodness of fit test for ergodic diffusions by tick time sample scheme ⋮ Goodness of fit test for ergodic diffusion processes ⋮ On goodness-of-fit testing for ergodic diffusion process with shift parameter ⋮ On the goodness-of-fit testing for ergodic diffusion processes ⋮ Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach ⋮ On efficient estimation of invariant density for ergodic diffusion processes ⋮ Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process ⋮ On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators ⋮ Estimation for the invariant law of an ergodic diffusion process based on high-frequency data ⋮ Donsker theorems for diffusions: necessary and sufficient conditions ⋮ On invariant distribution function estimation for continuous-time stationary processes
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