Stationary Distribution Function Estimation for Ergodic Diffusion Process |
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Authors: | Negri Ilia |
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Institution: | (1) Département de Mathématique, Université du Maine, Le Mans, France |
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Abstract: | The problem of nonparametric stationary distribution function estimation by the observations of an ergodic diffusion process is considered. The local asymptotic minimax lower bound on the risk of all the estimators is found and it is proved that the empirical distribution function is asymptotically efficient in the sense of this bound. |
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Keywords: | Mathematics Subject Classifications (1991): 60J60 62G20 ergodic diffusion process asymptotic efficiency |
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