On efficient estimation of invariant density for ergodic diffusion processes

DOI10.1016/S0167-7152(00)00147-4zbMath0972.62066MaRDI QIDQ5933640

Ilia Negri

Publication date: 19 November 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

ergodic diffusion processinvariant density estimationminimax lower bound

Mathematics Subject Classification ID

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

Related Items (4)

Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process ⋮ Estimation for the invariant law of an ergodic diffusion process based on high-frequency data ⋮ Donsker theorems for diffusions: necessary and sufficient conditions ⋮ Sup-norm adaptive drift estimation for multivariate nonreversible diffusions

Cites Work

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• On smoothed probability density estimation for stationary processes
• Ecole d'ete de probabilités de Saint-Flour XI - 1981
• Density estimation in a continuous-time stationary Markov process
• Stationary distribution function estimation for ergodic diffusion process
• Efficient density estimation for ergodic diffusion processes
• Nonparametric Identification for Diffusion Processes

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