For ergodic diffusion processes, we study kernel-type estimators for the invariant density, its derivatives and the drift function. We determine rates of convergence and find the joint asymptotic distribution of the estimators at different points.

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CWI
CWI. Probability, Networks and Algorithms [PNA]

van Zanten, J.H. (2000). Rates of convergence and asymptotic normality of curve estimators for ergodic diffusion processes. CWI. Probability, Networks and Algorithms [PNA]. CWI.