Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process

  title={Efficiency of a Class of Unbiased Estimators for the Invariant Distribution Function of a Diffusion Process},
  author={Ilia Negri},
  journal={Communications in Statistics - Theory and Methods},
  pages={177 - 185}
  • I. Negri
  • Published 21 September 2006
  • Mathematics
  • Communications in Statistics - Theory and Methods
We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly consistent and efficient in different metrics. Here we study the properties of optimality for another kind of estimator recently proposed. We consider a class of unbiased estimators and we show that they are also efficient in the sense that their asymptotic… 


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