On L2 Efficiency of an Empiric Distribution for Ergodic Diffusion Processes

DOI10.1137/S0040585X97978816zbMath0990.62073OpenAlexW2002425082MaRDI QIDQ4328531

Ilia Negri, Yury A. Kutoyants

Publication date: 25 April 2002

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97978816

zbMATH Keywords

asymptotic efficiencylower boundnonparametric estimationergodic diffusion processes

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Nonparametric learning for impulse control problems -- exploration vs. exploitation ⋮ Donsker theorems for diffusions: necessary and sufficient conditions

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