Comte, F.; Merlevède, F. - In: Stochastic Processes and their Applications 115 (2005) 5, pp. 797-826
In this paper, we study the problem of the nonparametric estimation of the marginal density f of a class of continuous time processes. To this aim, we use a projection estimator and deal with the integrated mean square risk. Under Castellana and Leadbetter's condition (Stoch. Proc. Appl. 21...