scientific article; zbMATH DE number 6323308

MaRDI QIDQ5495115zbMATH OpenFDO

Authors Patrick Cattiaux, Clémentine Prieur, José R. León

Publication date 31 July 2014

Full work available at URL http://alea.impa.br/articles/v11/11-16.pdf

zbMATH Keywords

hypoelliptic diffusionpartial observationsnonparametric drift estimationhigh frequency estimation

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(10)

• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Recursive estimation for stochastic damping Hamiltonian systems
• Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
• Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
• Parametric inference for hypoelliptic ergodic diffusions with full observations
• Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
• Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations
• 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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