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

Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems (SISP), 2020
Karine Bertin
N. Klutchnikoff
Fabien Panloup
Maylis Varvenne
ArXiv (abs)PDFHTML
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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