Asymptotically efficient estimation of the derivative of the invariant density

DOI10.1023/A:1022604827156zbMath1012.62089OpenAlexW4301878344MaRDI QIDQ1810762

Arnak S. Dalalyan, Yury A. Kutoyants

Publication date: 9 June 2003

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022604827156

zbMATH Keywords

derivative estimationergodic diffusionsinvariant densitiesPinsker's constantasymptotical efficiency

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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