Geodesic
On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 46 (2001) no. 1, pp. 164-169

Voir la notice de l'article provenant de la source Math-Net.Ru

The problem of the estimation of a stationary distribution function of an ergodic diffusion process with unknown trend coefficient is considered. An elementary proof of the lower minimax bound with integrated mean square error is proposed and it is shown that the empiric distribution attains this bound.
Keywords: lower bound, nonparametric estimation, asymptotic efficiency.
Mots-clés : ergodic diffusion process 
@article{TVP_2001_46_1_a11,
     author = {Yu. A. Kutoyants and I. Negri},
     title = {On $L_2$ {Efficiency} of an {Empiric} {Distribution} for {Ergodic} {Diffusion} {Processes}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {164--169},
     publisher = {mathdoc},
     volume = {46},
     number = {1},
     year = {2001},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a11/}
}
TY  - JOUR
AU  - Yu. A. Kutoyants
AU  - I. Negri
TI  - On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2001
SP  - 164
EP  - 169
VL  - 46
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a11/
LA  - en
ID  - TVP_2001_46_1_a11
ER  - 
%0 Journal Article
%A Yu. A. Kutoyants
%A I. Negri
%T On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2001
%P 164-169
%V 46
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a11/
%G en
%F TVP_2001_46_1_a11
Yu. A. Kutoyants; I. Negri. On $L_2$ Efficiency of an Empiric Distribution for Ergodic Diffusion Processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 46 (2001) no. 1, pp. 164-169. http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a11/