Adaptive invariant density estimation for ergodic diffusions over anisotropic classes

DOI10.1214/17-AOS1664zbMath1454.62249MaRDI QIDQ1990588

Claudia Strauch

Publication date: 25 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1536631280

zbMATH Keywords

adaptationanisotropic density estimationergodic diffusion

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (14)

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity ⋮ Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes ⋮ On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ Donsker theorems for occupation measures of multi-dimensional periodic diffusions ⋮ Minimax estimation of smooth optimal transport maps ⋮ Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes ⋮ Concentration of scalar ergodic diffusions and some statistical implications ⋮ Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations ⋮ Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations ⋮ Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions ⋮ Optimal convergence rates for the invariant density estimation of jump-diffusion processes

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