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Efficient Density Estimation for Ergodic Diffusion Processes

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  • Yu. Kutoyants

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  • Yu. Kutoyants, 1998. "Efficient Density Estimation for Ergodic Diffusion Processes," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 131-155, May.
    • Handle: RePEc:spr:sistpr:v:1:y:1998:i:2:p:131-155
    DOI: 10.1023/A:1009919612081
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    References listed on IDEAS

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    1. Kutoyants, Yu. A., 1997. "On unbiased density estimation for ergodic diffusion," Statistics & Probability Letters, Elsevier, vol. 34(2), pages 133-140, June.
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    Cited by:

    1. J. van Zanten, 2000. "On the Uniform Convergence of the Empirical Density of an Ergodic Diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 3(3), pages 251-262, October.
    2. Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
    3. Arnak Dalalyan & Yury Kutoyants, 2003. "Asymptotically Efficient Estimation of the Derivative of the Invariant Density," Statistical Inference for Stochastic Processes, Springer, vol. 6(1), pages 89-107, January.
    4. Dalalyan Arnak S. & Kutoyants Yury A., 2004. "On second order minimax estimation of invariant density for ergodic diffusion," Statistics & Risk Modeling, De Gruyter, vol. 22(1), pages 17-42, January.
    5. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
    6. Takayuki Fujii & Yoichi Nishiyama, 2012. "Some problems in nonparametric inference for the stress release process related to the local time," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 991-1007, October.
    7. Comte, F. & Merlevède, F., 2005. "Super optimal rates for nonparametric density estimation via projection estimators," Stochastic Processes and their Applications, Elsevier, vol. 115(5), pages 797-826, May.
    8. Karine Bertin & Nicolas Klutchnikoff & Fabien Panloup & Maylis Varvenne, 2020. "Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 271-300, July.
    9. Negri, Ilia, 2001. "On efficient estimation of invariant density for ergodic diffusion processes," Statistics & Probability Letters, Elsevier, vol. 51(1), pages 79-85, January.
    10. Löcherbach, Eva & Loukianova, Dasha, 2008. "On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1301-1321, August.

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