Nonparametric estimation of the derivatives of the stationary density for stationary processes

DOI10.1051/ps/2011102zbMath1396.62075OpenAlexW2154335132MaRDI QIDQ5408461

Emeline Schmisser

Publication date: 10 April 2014

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2011102

zbMATH Keywords

diffusion processesstationary processesnonparametric estimationmixing processesderivatives of the stationary density

Mathematics Subject Classification ID

Density estimation (62G07) Stationary stochastic processes (60G10)

Related Items (7)

Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes ⋮ Adaptive estimation for stochastic damping Hamiltonian systems under partial observation ⋮ Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift ⋮ Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion ⋮ Optimal adaptive estimation on \(\mathbb{R}\) or \(\mathbb{R}^{+}\) of the derivatives of a density ⋮ Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes ⋮ Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations

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