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Adaptive estimation of an ergodic diffusion process based on sampled data

โœ Scribed by Masayuki Uchida; Nakahiro Yoshida


Book ID
116888873
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
390 KB
Volume
122
Category
Article
ISSN
0304-4149

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โœ Ilia Negri ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 96 KB

The problem of nonparametric invariant density function estimation of an ergodic di usion process is considered. The local asymptotic minimax lower bound on the risk of all the estimators is established. The asymptotic risk considered measures the distance between the estimators and the density that