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This article is cited in 3 scientific papers (total in 3 papers)
Short Communications
On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes
Yu. A. Kutoyantsa, I. Negrib a Université du Maine
b University of Bergamo
Abstract:
The problem of the estimation of a stationary distribution function of an ergodic diffusion process with unknown trend coefficient is considered. An elementary proof of the lower minimax bound with integrated mean square error is proposed and it is shown that the empiric distribution attains this bound.
Keywords:
ergodic diffusion process, lower bound, nonparametric estimation, asymptotic efficiency.
Received: 27.10.1998
Citation:
Yu. A. Kutoyants, I. Negri, “On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes”, Teor. Veroyatnost. i Primenen., 46:1 (2001), 164–169; Theory Probab. Appl., 46:1 (2002), 140–146
Linking options:
https://www.mathnet.ru/eng/tvp4034https://doi.org/10.4213/tvp4034 https://www.mathnet.ru/eng/tvp/v46/i1/p164
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Abstract page: | 198 | Full-text PDF : | 161 |
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