Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
DOI10.1007/s11203-020-09218-0zbMath1453.62439arXiv2003.05167OpenAlexW3035478554WikidataQ115380879 ScholiaQ115380879MaRDI QIDQ2194048
Fabien Panloup, Karine Bertin, Maylis Varvenne, Nicolas Klutchnikoff
Publication date: 25 August 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.05167
rate of convergencefractional Brownian motionstationary densitystochastic differential equation (SDE)adaptive density estimationnonparametric fractional diffusion model
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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