Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency
Statistics Theory
2008-12-18 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.0804.1715,
title = {Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency},
author = {Leonid Galtchouk and Serguey Pergamenshchikov},
journal= {arXiv preprint arXiv:0804.1715},
year = {2008}
}