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arXiv · 2003.05167

Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

Karine Bertin·Nicolas Klutchnikoff·Fabien Panloup·Maylis Varvenne
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Abstract

We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime.

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Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup, Maylis Varvenne. 2020-03-11. Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion. https://arxiv.org/abs/2003.05167

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