We consider the problems of the density and distribution function estimation by the observations of diffusion process with ergodic properties. In every problem we first propose a minimax bound on the risk of any estimator and then study the asymptotic behavior of several estimators. It is shown that
โฆ LIBER โฆ
An extension of cusp estimation problem in ergodic diffusion processes
โ Scribed by Takayuki Fujii
- Book ID
- 108267697
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 243 KB
- Volume
- 80
- Category
- Article
- ISSN
- 0167-7152
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We estimate the common probability density function of n i.i.d, observations at a fixed point, valued in an infinite-dimensional Banach space. A kernel estimator is proposed. Convergence in mean square is proved. Application to process of diffusion type is considered. (~) 2004 Elsevier Ltd. All righ