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

DOI10.1007/S11203-020-09218-0MaRDI QIDQ2194048zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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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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