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; Panloup, Fabien; Varvenne, Maylis

Abstract

We build and study a data-driven procedure for the estimation of the stationary densityfof 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: ID SCOPUS_ID:85086377642 Not found in local SCOPUS DB
Título de la Revista: STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES
Volumen: 23
Editorial: Springer
Fecha de publicación: 2020
Página de inicio: 271
Página final: 300
DOI:

10.1007/S11203-020-09218-0
Notas: ISI, SCOPUS