An overlook on statistical inference issues for stochastic damping hamiltonian systems under the fluctuation-dissipation condition

DOI10.1080/02331888.2016.1259807zbMath1378.62048OpenAlexW2559895791MaRDI QIDQ5276166

Patrick Cattiaux, Clémentine Prieur, A. A. Pineda Centeno, José Rafael León

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1259807

zbMATH Keywords

variance estimationhypoelliptic diffusionfluctuation-dissipation models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hypoelliptic equations (35H10)

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Cites Work

• Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
• Explicit parametrix and local limit theorems for some degenerate diffusion processes
• Inequalities for absolutely regular sequences: application to density estimation
• Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems.
• Exponential and uniform ergodicity of Markov processes
• Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density
• LANGEVIN MOLECULAR DYNAMICS DERIVED FROM EHRENFEST DYNAMICS
• Likelihood-Based Estimation of Multidimensional Langevin Models and Its Application to Biomolecular Dynamics
• Recursive estimation for stochastic damping hamiltonian systems

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