On invariant density estimation for ergodic diffusion processes.
Kutoyants, Yuri A.
SORT, Tome 28 (2004), p. 111-124 / Harvested from Biblioteca Digital de Matemáticas
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We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator.

Publié le : 2004-01-01
DMLE-ID : 3073 
@article{urn:eudml:doc:40455,
     title = {On invariant density estimation for ergodic diffusion processes.},
     journal = {SORT},
     volume = {28},
     year = {2004},
     pages = {111-124},
     mrnumber = {MR2116187},
     zbl = {1274.62551},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40455}
}

Kutoyants, Yuri A. On invariant density estimation for ergodic diffusion processes.. SORT, Tome 28 (2004) pp. 111-124. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40455/