On Empirical Processes for Ergodic Diffusions and Rates of Convergence of "M"-estimators

This paper contributes to the development of empirical process theory for ergodic diffusions. We prove an entropy-type maximal inequality for the increments of the empirical process of an ergodic diffusion. The inequality is used to study the rate of convergence of "M"-estimators. Copyright 2003 Board of the Foundation of the Scandinavian Journal of Statistics..