Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations

DOI10.1016/J.SPA.2022.08.008zbMATH Open1496.62141arXiv2109.13190OpenAlexW3204887366WikidataQ114130679 ScholiaQ114130679MaRDI QIDQ2080286FDOQ2080286

Authors: Niklas Dexheimer, Claudia Strauch 

Publication date: 7 October 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic smoothness assumptions on the unknown functions. The analysis is based on continuous observations of the process, and the estimators' performance is measured in terms of the sup-norm loss. Regarding invariant density estimation, we obtain highly nonclassical results for the rate of convergence, which reflect the inhomogeneous variance structure of the process. Concerning estimation of the drift vector, we suggest both non-adaptive and fully data-driven procedures. All of the aforementioned results strongly rely on tight uniform moment bounds for empirical processes associated to deterministic and stochastic integrals of the investigated process, which are also proven in this paper.

Full work available at URL: https://arxiv.org/abs/2109.13190

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• scientific article; zbMATH DE number 6323308

zbMATH Keywords

nonparametric estimationhypoelliptic diffusionstationary measuredrift estimation\(\sup\)-norm adaptive estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cited In (8)

• Recursive estimation for stochastic damping Hamiltonian systems
• Title not available (Why is that?)
• Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
• Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
• Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
• Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density
• Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations
• An overlook on statistical inference issues for stochastic damping hamiltonian systems under the fluctuation-dissipation condition

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