Optimal convergence rates for the invariant density estimation of jump-diffusion processes

DOI10.1051/PS/2022001zbMATH Open1493.62185arXiv2101.08548OpenAlexW3125933282MaRDI QIDQ5030241FDOQ5030241

Authors: Chiara Amorino, Eulalia Nualart 

Publication date: 16 February 2022

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: We aim at estimating the invariant density associated to a stochastic differential equation with jumps in low dimension, which is for $d=1$ and $d=2$. We consider a class of jump diffusion processes whose invariant density belongs to some H"older space. Firstly, in dimension one, we show that the kernel density estimator achieves the convergence rate $frac1T$, which is the optimal rate in the absence of jumps. This improves the convergence rate obtained in [Amorino, Gloter (2021)], which depends on the Blumenthal-Getoor index for $d=1$ and is equal to $fraclogTT$ for $d=2$. Secondly, we show that is not possible to find an estimator with faster rates of estimation. Indeed, we get some lower bounds with the same rates $frac1T,fraclogTT$ in the mono and bi-dimensional cases, respectively. Finally, we obtain the asymptotic normality of the estimator in the one-dimensional case.

Full work available at URL: https://arxiv.org/abs/2101.08548

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zbMATH Keywords

minimax riskconvergence rateergodic diffusion with jumpsnon-parametric statisticsinvariant density estimationLévy driven SDE

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Jump processes on discrete state spaces (60J74)

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Cited In (4)

• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
• Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk

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