Recursive estimation for stochastic damping Hamiltonian systems

DOI10.1080/10485252.2015.1046451MaRDI QIDQ3455255zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux, Clémentine Prieur, José R. León

Publication date 4 December 2015

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2015.1046451

zbMATH Keywords

hypoelliptic diffusionnonparametric estimationpartial observationsrecursive estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Density estimation (62G07)

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Cites work

• Almost sure convergence of recursive density estimators for stationary mixing processes
• Asymptotic normality of recursive density estimates under some dependence assumptions
• Dependent Lindeberg central limit theorem and some applications
• Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density
• Explicit parametrix and local limit theorems for some degenerate diffusion processes
• Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems.
• Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
• Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré
• Recursive probability density estimation for weakly dependent stationary processes
• Remarks on some recursive estimators of a probability density
• Strong consistency and rates for recursive probability density estimators of stationary processes

Cited in

(10)

• Estimation, principal components and Hamiltonian systems
• Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations
• Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density
• Initial estimates for the dynamics of a Hammerstein system
• Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
• Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
• An overlook on statistical inference issues for stochastic damping hamiltonian systems under the fluctuation-dissipation condition
• scientific article; zbMATH DE number 6323308 (Why is no real title available?)
• On the role of invariants for the parameter estimation problem in Hamiltonian systems
• Asymptotic results for recursive multivariate associated-kernel estimators of the probability density mass function of a data stream

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