Optimal convergence rates for the invariant density estimation of jump-diffusion processes
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Publication:5030241
DOI10.1051/ps/2022001zbMath1493.62185arXiv2101.08548OpenAlexW3125933282MaRDI QIDQ5030241
Chiara Amorino, Eulalia Nualart
Publication date: 16 February 2022
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.08548
convergence rateinvariant density estimationminimax riskLévy driven SDEnon-parametric statisticsergodic diffusion with jumps
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Jump processes on discrete state spaces (60J74)
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