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arXiv:2003.05167 [math.PR]AbstractReferencesReviewsResources

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

Published 2020-03-11Version 1

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.

Categories: math.PR, math.ST, stat.TH
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