Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations-Reference-Cited by-同舟云学术

Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations

Published:2022-11-01 Issue:4 Volume:58 Page:
ISSN:0246-0203
Container-title:Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
language:
Short-container-title:Ann. Inst. H. Poincaré Probab. Statist.

Author:

Delattre Sylvain¹,Gloter Arnaud²,Yoshida Nakahiro³

Affiliation:

1. Laboratoire de Probabilités Statistique et Modélisation UMR 7599, Université Denis Diderot, 77251 Paris Cedex 05, France

2. Laboratoire de Mathématiques et Modélisation d’Evry, Université Paris-Saclay, CNRS, Univ Evry, 91037, Evry, France

3. Graduate School of Mathematical Sciences, University of Tokyo: 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference21 articles.

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3. C. Amorino and A. Gloter. Invariant density adaptive estimation for ergodic jump–diffusion processes over anisotropic classes. J. Statist. Plann. Inference 213 (2021) 106–129.

4. P. Cattiaux, J. León and C. Prieur. Estimation for stochastic damping Hamiltonian systems under partial observation I. Invariant density. Stochastic Process. Appl. 124 (3) (2014) 1236–1260.

5. F. Comte and C. Lacour. Anisotropic adaptive kernel deconvolution. Ann. Inst. Henri Poincaré Probab. Stat. 49 (2) (2013) 569–609.