Abstract
We consider the problems of invariant distribution function, density and trend coefficient estimation in the situations when the trend coefficient is an unknown function. In every problem we propose a lower minimax bound on the risk of all estimators and then construct asymptotically efficient estimators.
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© 2004 Springer-Verlag London
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Kutoyants, Y.A. (2004). Nonparametric Estimation. In: Statistical Inference for Ergodic Diffusion Processes. Springer Series in Statistics. Springer, London. https://doi.org/10.1007/978-1-4471-3866-2_5
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DOI: https://doi.org/10.1007/978-1-4471-3866-2_5
Publisher Name: Springer, London
Print ISBN: 978-1-84996-906-2
Online ISBN: 978-1-4471-3866-2
eBook Packages: Springer Book Archive