Estimation for the invariant law of an ergodic diffusion process based on high-frequency data
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DOI: 10.1080/10485252.2011.591397
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References listed on IDEAS
- Negri, Ilia, 2001. "On efficient estimation of invariant density for ergodic diffusion processes," Statistics & Probability Letters, Elsevier, vol. 51(1), pages 79-85, January.
- D. Blanke & B. Pumo, 2003. "Optimal sampling for density estimation in continuous time," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 1-23, January.
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