On efficient estimation of invariant density for ergodic diffusion processes

DOI10.1016/S0167-7152(00)00147-4MaRDI QIDQ5933640zbMATH OpenFDO

Authors Ilia Negri

Publication date 19 November 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00147-4

zbMATH Keywords

ergodic diffusion processinvariant density estimationminimax lower bound

Mathematics Subject Classification ID

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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• Efficient density estimation for ergodic diffusion processes
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3426635 (Why is no real title available?)
• scientific article; zbMATH DE number 3238722 (Why is no real title available?)
• scientific article; zbMATH DE number 3272009 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• Nonparametric Identification for Diffusion Processes
• On smoothed probability density estimation for stationary processes
• Stationary distribution function estimation for ergodic diffusion process

Cited in

(19)

• On density estimation from ergodic processes
• On unbiased density estimation for ergodic diffusion
• Asymptotically efficient estimation of the derivative of the invariant density
• On confidence intervals for distribution function and density of ergodic diffusion process
• Efficient density estimation for ergodic diffusion processes
• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
• Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
• Donsker theorems for diffusions: necessary and sufficient conditions
• Invariant density estimation for a reflected diffusion using an Euler scheme
• Estimation for the invariant law of an ergodic diffusion process based on high-frequency data
• On invariant density estimation for ergodic diffusion processes
• scientific article; zbMATH DE number 1210649 (Why is no real title available?)
• scientific article; zbMATH DE number 1304737 (Why is no real title available?)
• On second order minimax estimation of invariant density for ergodic diffusion
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Efficiency of a class of unbiased estimators for the invariant distribution function of a diffusion process
• Invariant Density Estimation for Multidimensional Diffusions
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• On optimality of the empirical distribution function for the estimation of the invariant distribution function of a diffusion process

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