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14 p, 96.4 KB On invariant density estimation for ergodic diffusion processes / Kutoyants, Yuri A. (Université du Maine)
We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound on the risks of all estimators and then we construct an asymptotically efficient estimator.
2004
SORT : statistics and operations research transactions, Vol. 28, Núm. 2 (July-December 2004) , p. 111-124  
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