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
Asymptotics of an Efficient Monte Carlo Estimation for the Transition Density of Diffusion Processes
β Scribed by Osnat Stramer; Jun Yan
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 446 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1387-5841
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