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Stationary Distribution Function Estimation for Ergodic Diffusion Process

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  • Ilia Negri

Abstract

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Suggested Citation

  • Ilia Negri, 1998. "Stationary Distribution Function Estimation for Ergodic Diffusion Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(1), pages 61-84, January.
    • Handle: RePEc:spr:sistpr:v:1:y:1998:i:1:p:61-84
    DOI: 10.1023/A:1009997126882
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    Citations

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    Cited by:

    1. Ilia Negri & Yoichi Nishiyama, 2009. "Goodness of fit test for ergodic diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 919-928, December.
    2. Ilia Negri & Yoichi Nishiyama, 2010. "Review on Goodness of Fit Tests for Ergodic Diffusion Processes by Different Sampling Schemes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 91-106, February.
    3. Stefano Iacus, 2001. "Statistic analysis of stochastic resonance with ergodic diffusion noise," Departmental Working Papers 2001-06, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    4. Negri, Ilia, 2001. "On efficient estimation of invariant density for ergodic diffusion processes," Statistics & Probability Letters, Elsevier, vol. 51(1), pages 79-85, January.
    5. Ilia Negri & Li Zhou, 2014. "On goodness-of-fit testing for ergodic diffusion process with shift parameter," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 51-73, April.

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