Sankhya: The Indian Journal of Statistics

1998, Volume 60, Series A, Pt. 1 ,pp. 57-73

MINIMAX RATES OF DENSITY ESTIMATORS FOR CONTINUOUS TIME PROCESSES

By

DENIS BOSQ, Université Pierre et Marie Curie-LSTA, France

SUMMARY.We show that in density estimation for continuous time processes minimax rates are the same as in the i.i.d. case.

AMS (1991) subject classification. 62C10.

Key words and phrases. density estimation, minimax, continuous time process.

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