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

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

2008-04-10

arxiv.org/abs/0804.1715v1

Mathematics

Statistics Theory

Scientific paper

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.

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