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Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion |
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| Authors: | Bertin Karine Klutchnikoff Nicolas Panloup Fabien Varvenne Maylis |
| Affiliation: | 1.CIMFAV-INGEMAT, Universidad de Valparaiso, General Cruz 222, Valparaíso, Chile ;2.Univ Rennes, CNRS, IRMAR – UMR 6625, 35000, Rennes, France ;3.Laboratoire angevin de recherche en mathématiques (LAREMA), Université d’Angers, CNRS, 49045, Angers Cedex 01, France ;4.Institut de Mathématiques de Toulouse (IMT), Université de Toulouse 1 Capitole, 2 Rue du Doyen-Gabriel-Marty, 31042, Toulouse, France ; |
| Abstract: | Statistical Inference for Stochastic Processes - 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... |
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