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

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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 
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/
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     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},
     year = {2001},
     volume = {46},
     number = {1},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a11/}
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