On unbiased density estimation for ergodic diffusion

DOI10.1016/S0167-7152(96)00174-5zbMath0899.62104MaRDI QIDQ1380639

Yury A. Kutoyants

Publication date: 8 March 1998

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

zbMATH Keywords

asymptotic normalitydiffusion processesunbiased estimatordensity function estimation

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Local Hölder exponent estimation for multivariate continuous time processes ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes

Cites Work

• On smoothed probability density estimation for stationary processes
• Mean integrated square error properties of density estimates
• Density estimation in a continuous-time stationary Markov process
• Some problems of nonparametric estimation by observations of ergodic diffusion process
• On Castellana-Leadbetter's condition for diffusion density estimation
• Nonparametric statistics for stochastic processes
• Estimation of Distribution Density Belonging to a Class of Entire Functions
• Nonparametric Identification for Diffusion Processes
• On the Estimation of the Probability Density, I
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