Article ISI SCOPUS
Statistical Inference for Stochastic Processes  (2020)

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

BERTIN, KARINE MARIE ANNE; Klutchnikoff, Nicolas

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.

Más información

Título según WOS: Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
Título según SCOPUS: Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
Título de la Revista: Statistical Inference for Stochastic Processes
Volumen: 23
Número: 2
Editorial: Springer
Fecha de publicación: 2020
Página final: 300
Idioma: English
DOI:

10.1007/s11203-020-09218-0
Notas: ISI, SCOPUS