Yu. A. Kutoyants, I. Negri, “On <nobr>$L_2$</nobr> Efficiency of an Empiric Distribution for Ergodic Diffusion Processes”, Teor. Veroyatnost. i Primenen., 2001, Volume 46, Issue 1,Pages <nobr>164

This article is cited in 3 papers

Short Communications

On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes

Yu. A. Kutoyants^a, I. Negri^b

^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

Language: English

DOI: 10.4213/tvp4034