Goodness of fit test for ergodic diffusion processes
SteamAdm
A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical
Category: 2006
Efficiency of a class of unbiased estimators for the invariant distribution function of a diffusion process
SteamAdm
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