Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes

DOI10.1016/J.JSPI.2020.11.006MaRDI QIDQ830713zbMATH OpenOpenAlexWikidataFDO

Authors Chiara Amorino, Arnaud Gloter

Publication date 7 May 2021

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.07422

zbMATH Keywords

adaptive bandwidth selectionanisotropic density estimationergodic diffusion with jumpsLévy driven SDE (stochastic differential equation)

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)

Abstract: We consider the solution X = (Xt) t$ge$0 of a multivariate stochastic differential equation with Levy-type jumps and with unique invariant probability measure with density $mu$. We assume that a continuous record of observations X T = (Xt) 0$le$t$le$T is available. In the case without jumps, Reiss and Dalalyan (2007) and Strauch (2018) have found convergence rates of invariant density estimators, under respectively isotropic and anisotropic H{"o}lder smoothness constraints, which are considerably faster than those known from standard multivariate density estimation. We extend the previous works by obtaining, in presence of jumps, some estimators which have the same convergence rates they had in the case without jumps for d $ge$ 2 and a rate which depends on the degree of the jumps in the one-dimensional setting. We propose moreover a data driven bandwidth selection procedure based on the Goldensh-luger and Lepski (2011) method which leads us to an adaptive non-parametric kernel estimator of the stationary density $mu$ of the jump diffusion X. Adaptive bandwidth selection, anisotropic density estimation, ergodic diffusion with jumps, L{'e}vy driven SDE

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Cited in

(12)

• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Approximation of the invariant distribution for a class of ergodic jump diffusions
• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
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• Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations

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