On confidence intervals for distribution function and density of ergodic diffusion process
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Publication:1878832
DOI10.1016/S0378-3758(03)00195-2zbMath1094.62106MaRDI QIDQ1878832
Dominique Dehay, Yury A. Kutoyants
Publication date: 9 September 2004
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Confidence intervalVariance estimationErgodic diffusionInvariant densityInvariant distributionNonparametric Fisher information
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)
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Cites Work
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- Nonparametric statistics for stochastic processes
- Efficient density estimation for ergodic diffusion processes
- Estimation of the asymptotic variance of kernel density estimators for continuous time processes
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