𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On L 2 Efficiency of an Empiric Distribution for Ergodic Diffusion Processes

✍ Scribed by Kutoyants, Yu A.; Negri, I.


Book ID
118226011
Publisher
Society for Industrial and Applied Mathematics
Year
2002
Tongue
English
Weight
129 KB
Volume
46
Category
Article
ISSN
0040-585X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


On efficient estimation of invariant den
✍ Ilia Negri πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 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 confidence intervals for distribution
✍ D. Dehay; Yu.A. Kutoyants πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 228 KB

In the problems of invariant distribution and density estimation of an ergodic di usion process, the asymptotic variances of many estimators can be represented as some mathematical expectations with respect to the invariant law. Therefore, the construction of the conΓΏdence intervals requires the est