Optimal convergence rates for the invariant density estimation of jump-diffusion processes

DOI10.1051/ps/2022001zbMath1493.62185arXiv2101.08548OpenAlexW3125933282MaRDI QIDQ5030241

Chiara Amorino, Eulalia Nualart

Publication date: 16 February 2022

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.08548

zbMATH Keywords

convergence rateinvariant density estimationminimax riskLévy driven SDEnon-parametric statisticsergodic diffusion with jumps

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Jump processes on discrete state spaces (60J74)

Related Items (2)

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity ⋮ Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk

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