Abstract
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 another 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 the same asymptotic minimax lower bound of the empirical distribution function.
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