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.
(2002). On L2 efficiency of an empiric distribution for ergodic diffusion processes [journal article - articolo]. In THEORY OF PROBABILITY AND ITS APPLICATIONS. Retrieved from http://hdl.handle.net/10446/193822
On L2 efficiency of an empiric distribution for ergodic diffusion processes
Negri, Ilia
2002-01-01
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.File allegato/i alla scheda:
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