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Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes

โœ Scribed by L. Galtchouk; S. Pergamenshchikov


Publisher
Springer Netherlands
Year
2006
Tongue
English
Weight
158 KB
Volume
9
Category
Article
ISSN
1387-0874

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Kernel density estimator in an infinite-
โœ S Dabo-Niang ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 313 KB

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