Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process
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Publication:5190593
DOI10.1080/03610920802653852zbMath1185.62149arXivmath/0609590OpenAlexW2113083663MaRDI QIDQ5190593
Publication date: 18 March 2010
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0609590
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05)
Cites Work
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- Infinite-Dimensional Informational Inequalities
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- On second order minimax estimation of invariant density for ergodic diffusion
- On efficient estimation of invariant density for ergodic diffusion processes