๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Efficient Density Estimation for Ergodic Diffusion Processes

โœ Scribed by Yu. A. Kutoyants

Book ID
110283046
Publisher
Springer Netherlands
Year
1998
Tongue
English
Weight
149 KB
Volume
1
Category
Article
ISSN
1387-0874

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

On efficient estimation of invariant den
On efficient estimation of invariant density for ergodic diffusion processes
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

On unbiased density estimation for ergod
On unbiased density estimation for ergodic diffusion
โœ Yu.A. Kutoyants ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 316 KB

Two classes of unbiased estimators of the density function of ergodic distribution for the diffusion process of observations are proposed. The estimators are square-root consistent and asymptotically normal. This curious situation is entirely different from the case of discrete-time models (Davis 19