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.
On L2-efficiency of empiric distribution for diffusion process
NEGRI I;
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 in questo prodotto:
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