In this paper we present a new technique to obtain estimators for parameters of ergodic processes. When a di usion is ergodic its transition density converges to the invariant density . This convergence enabled us to introduce a sample partitioning technique that gives, in each sub-sample, observations that can be treated as independent and identically distributed. Within this framework, is possible the construction of estimators like maximum likelihood estimators or others.
|Journal||Communications In Statistics-Simulation And Computation|
|Publication status||Published - 1 Jan 2015|