Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes

被引：9

作者：

Van Zanten, H ^{[1
]}

机构：

[1] Free Univ Amsterdam, Fac Sci, Div W&I, NL-1081 HV Amsterdam, Netherlands

来源：

JOURNAL OF NONPARAMETRIC STATISTICS | 2001年 / 13卷 / 06期

关键词：

ergodic diffusions; nonparametric estimation; rate of convergence; asymptotic normality;

D O I：

10.1080/10485250108832880

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For ergodic diffusion processes, we study kernel-type estimators for the invariant density, its derivatives and the drift function. We determine rates of convergence and find the joint asymptotic distribution of the estimators at different points.

引用

页码：833 / 850

页数：18

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