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
✦ LIBER ✦
On Castellana–Leadbetter's Condition for Diffusion Density Estimation
✍ Scribed by A. Yu. Veretennikov
- Book ID
- 110284761
- Publisher
- Springer Netherlands
- Year
- 1999
- Tongue
- English
- Weight
- 57 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1387-0874
No coin nor oath required. For personal study only.
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