Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

DOI10.1007/S11203-020-09218-0zbMATH Open1453.62439arXiv2003.05167OpenAlexW3035478554WikidataQ115380879 ScholiaQ115380879MaRDI QIDQ2194048FDOQ2194048

Authors: Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup, Maylis Varvenne 

Publication date: 25 August 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime.

Full work available at URL: https://arxiv.org/abs/2003.05167

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zbMATH Keywords

rate of convergencefractional Brownian motionadaptive density estimationstochastic differential equation (SDE)stationary densitynonparametric fractional diffusion model

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (3)

• Density estimates and central limit theorem for the functional of fractional SDEs
• Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
• On the (non)stationary density of fractional-driven stochastic differential equations

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