On invariant density estimation for ergodic diffusion processes.

Kutoyants, Yuri A.. "On invariant density estimation for ergodic diffusion processes.." SORT 28.2 (2004): 111-124. <http://eudml.org/doc/40455>.

@article{Kutoyants2004,
abstract = {We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator.},
author = {Kutoyants, Yuri A.},
journal = {SORT},
keywords = {Proceso de Markov; Proceso de difusión; Inferencia no paramétrica; ergodic diffusion; density estimation; large sample theory; efficient estimation},
language = {eng},
number = {2},
pages = {111-124},
title = {On invariant density estimation for ergodic diffusion processes.},
url = {http://eudml.org/doc/40455},
volume = {28},
year = {2004},
}

TY - JOUR
AU - Kutoyants, Yuri A.
TI - On invariant density estimation for ergodic diffusion processes.
JO - SORT
PY - 2004
VL - 28
IS - 2
SP - 111
EP - 124
AB - We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator.
LA - eng
KW - Proceso de Markov; Proceso de difusión; Inferencia no paramétrica; ergodic diffusion; density estimation; large sample theory; efficient estimation
UR - http://eudml.org/doc/40455
ER -