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.

Diffusion processes (msc 60J60), Asymptotic properties (msc 62G20)
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.