Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
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Publication:2074283
Abstract: We study the problem of the non-parametric estimation for the density of the stationary distribution of the multivariate stochastic differential equation with jumps (Xt) , when the dimension d is bigger than 3. From the continuous observation of the sampling path on [0, T ] we show that, under anisotropic Holder smoothness constraints, kernel based estimators can achieve fast convergence rates. In particular , they are as fast as the ones found by Dalalyan and Reiss [9] for the estimation of the invariant density in the case without jumps under isotropic Holder smoothness constraints. Moreover, they are faster than the ones found by Strauch [29] for the invariant density estimation of continuous stochastic differential equations, under anisotropic Holder smoothness constraints. Furthermore, we obtain a minimax lower bound on the L2-risk for pointwise estimation, with the same rate up to a log(T) term. It implies that, on a class of diffusions whose invariant density belongs to the anisotropic Holder class we are considering, it is impossible to find an estimator with a rate of estimation faster than the one we propose.
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Cited in
(7)- Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
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