On confidence intervals for distribution function and density of ergodic diffusion process

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)

zbMATH Keywords

Confidence interval; Variance estimation; Ergodic diffusion; Invariant density; Invariant distribution; Nonparametric Fisher information

Mathematics Subject Classification ID

62G07: Density estimation

62G20: Asymptotic properties of nonparametric inference

62M05: Markov processes: estimation; hidden Markov models

Related Items

On invariant distribution function estimation for continuous-time stationary processes

Cites Work

• Unnamed Item
• On smoothed probability density estimation for stationary processes
• Density estimation in a continuous-time stationary Markov process
• Stationary distribution function estimation for ergodic diffusion process
• Density estimation for a class of continuous time processes
• Efficiency of the empirical distribution for ergodic diffusion
• On Castellana-Leadbetter's condition for diffusion density estimation
• Local time and density estimation in continuous time
• 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