Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion (Q2194048)
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| English | Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion |
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Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion (English)
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25 August 2020
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This paper deals with estimating the stationary density of the SDE \[ X_t = X_0 + \int_0^t b\left(X_s\right) d s + \sigma B_t^H \] where \(B^H\) is a fractional Brownian motion with Hurst parameter \(0 < H < 1\). The authors design and analyze a purely data-driven procedure based on kernel density estimation and bandwidth selection via the Goldenshluger-Lepski method. The calibration of this procedure requires new concentration inequalities proven by the authors.
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fractional Brownian motion
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nonparametric fractional diffusion model
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stationary density
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rate of convergence
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adaptive density estimation
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stochastic differential equation (SDE)
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0.8630450367927551
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0.796303391456604
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0.793780505657196
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0.7885592579841614
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