Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process

DOI10.1080/03610920802653852zbMath1185.62149arXivmath/0609590OpenAlexW2113083663MaRDI QIDQ5190593

Ilia Negri

Publication date: 18 March 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0609590

zbMATH Keywords

lower boundasymptotically efficient estimatorsergodic diffusion

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Stationary distribution function estimation for ergodic diffusion process
• Efficiency of the empirical distribution for ergodic diffusion
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• Infinite-Dimensional Informational Inequalities
• Asymptotic minimax theorems for the sample distribution function
• On second order minimax estimation of invariant density for ergodic diffusion
• On efficient estimation of invariant density for ergodic diffusion processes