On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M-estimators
β Scribed by Harry van Zanten
- Book ID
- 108536227
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 181 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0303-6898
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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
It has been shown previously by Nobel and Dembo (Stat. Probab. Lett. 17 (1993) 169) that, if a family of functions F has the property that empirical means based on an i.i.d. process converge uniformly to their values as the number of samples approaches inΓΏnity, then F continues to have the same prop