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Asymptotically Efficient Estimation of the Derivative of the Invariant Density

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  • Arnak Dalalyan
  • Yury Kutoyants

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  • 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.
    • Handle: RePEc:spr:sistpr:v:6:y:2003:i:1:p:89-107
    DOI: 10.1023/A:1022604827156
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    References listed on IDEAS

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    1. Yu. Kutoyants, 1998. "Efficient Density Estimation for Ergodic Diffusion Processes," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 131-155, May.
    2. A. Lucas, 1998. "Can We Estimate the Density's Derivative with Suroptimal Rate?," Statistical Inference for Stochastic Processes, Springer, vol. 1(1), pages 29-41, January.
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    Cited by:

    1. 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(1/2004), pages 17-42, January.
    2. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
    3. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.

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