On frequency estimation for a periodic ergodic diffusion process
✍ Scribed by R. Höpfner, Yu. A. Kutoyants
- Book ID
- 114989876
- Publisher
- SP MAIK Nauka/Interperiodica
- Year
- 2012
- Tongue
- English
- Weight
- 398 KB
- Volume
- 48
- Category
- Article
- ISSN
- 0032-9460
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📜 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
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