arXiv Open Access 2008

Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency

Leonid Galtchouk Serguey Pergamenshchikov

Lihat Sumber

Abstrak

Asymptotic efficiency is proved for the constructed in part 1 procedure, i.e. Pinsker's constant is found in the asymptotic lower bound for the minimax quadratic risk. It is shown that the asymptotic minimax quadratic risk of the constructed procedure coincides with this constant.

Topik & Kata Kunci

math.ST

Penulis (2)

Leonid Galtchouk

Serguey Pergamenshchikov

Format Sitasi

APA MLA BibTeX

Galtchouk, L., Pergamenshchikov, S. (2008). Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency. https://arxiv.org/abs/0804.1715

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2008
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓