Efficiency of a class of unbiased estimators for the invariant distribution function of a diffusion process

Details Efficiency of a class of unbiased estimators for the invariant distribution function of a diffusion process Efficiency of a class of unbiased estimators for the invariant distribution function of a diffusion process

2006-09-21

arxiv.org/abs/math/0609590v1

Mathematics

Statistics Theory

10 pages

Scientific paper

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 an other 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 risk, defined as the integrated mean square error, attains an asymptotic minimax lower bound.

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