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