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arXiv · 0804.1715

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

Leonid Galtchouk·Serguey Pergamenshchikov
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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.

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Leonid Galtchouk, Serguey Pergamenshchikov. 2008-04-10. Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency. https://arxiv.org/abs/0804.1715

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