On invariant density estimation for ergodic diffusion processes

Publication date 16 November 2009

Full work available at URL https://eudml.org/doc/40455, http://www.idescat.cat/sort/artpublished.html

density estimation efficient estimation ergodic diffusion large sample theory

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
On efficient estimation of invariant density for ergodic diffusion processes
Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
On local times, density estimation and supervised classification from functional data
On optimality of the empirical distribution function for the estimation of the invariant distribution function of a diffusion process
Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes
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Statistical inference for perturbed multiscale dynamical systems
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On invariant distribution function estimation for continuous-time stationary processes
Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
Divergences test statistics for discretely observed diffusion processes
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