On L2 efficiency of an empiric distribution for ergodic diffusion processes

Theory of Probability and its Applications

Volumn 46, Issue 1, 2002, Pages 140-146

  Kutoyants, Yu A ^a   Negri, I ^a  

^a UNIVERSITÉ DU MAINE   (France)

Author keywords

Asymptotic efficiency; Ergodic diffusion process; Lower bound; Nonparametric estimation

Indexed keywords

EID: 0036347749     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X97978816     Document Type: Article

References (11)

1. Applications of the van trees inequality: A Bayesian Cramér-Rao bound
2. Efficient estimation of dynamical systems
3. Efficiency of the empirical distribution for ergodic diffusion
4. Infinite-dimensional information inequalities
5. Asymptotic minimax theorems for the sample distribution function
6. Stationary distribution function estimation for ergodic diffusion process
7. Semiparametric models: An evaluation