Dalalyan, Arnak S.; Kutoyants, Yury A. - In: Statistics & Decisions 22 (2004) 1, pp. 17-42
Summary There are many asymptotically first order efficient estimators in the problem of estimating the invariant density of an ergodic diffusion process nonparametrically. To distinguish between them, we consider the problem of asymptotically second order minimax estimation of this density...