On invariant distribution function estimation for continuous-time stationary processes

DOI10.3150/BJ/1130077600MaRDI QIDQ817978zbMATH OpenOpenAlexFDO

Authors D. Dehay

Publication date 23 March 2006

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/bj/1130077600

zbMATH Keywords

asymptotic normalityconsistencycentral limit theoremweak convergencestationary processmixing conditionconvergence in quadratic mean

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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Cited in

(10)

• Censoring technique and numerical computations of invariant distribution for continuous-time Markov chains
• scientific article; zbMATH DE number 2221118 (Why is no real title available?)
• Distributional properties of continuous time processes: from CIR to bates
• scientific article; zbMATH DE number 4162037 (Why is no real title available?)
• scientific article; zbMATH DE number 148962 (Why is no real title available?)
• Remarks on estimation problem for stationary processes in continuous time
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Estimates for the moment-generating function for stationary random processes
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