Minimax rate of estimation for invariant densities associated to
continuous stochastic differential equations over anisotropic Holder classes

v1v2v3v4 (latest)

Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes

6 October 2021

ArXiv (abs)PDF HTML

Papers citing "Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes"

5 / 5 papers shown

Title
$Fast convergence rates for estimating the stationary density in SDEs driven by a fractional Brownian motion with semi-contractive drift$ Fast convergence rates for estimating the stationary density in SDEs driven by a fractional Brownian motion with semi-contractive drift Chiara Amorino Eulalia Nualart Fabien Panloup Julian Sieber 73 0 0 28 Aug 2024
Estimation of the invariant measure of a multidimensional diffusion from noisy observations Raphael Maillet Grégoire Szymanski 59 0 0 18 Apr 2024
Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime Chiara Amorino A. Gloter 66 2 0 05 Aug 2022
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity Chiara Amorino A. Gloter 71 3 0 02 Mar 2022
Mixing it up: A general framework for Markovian statistics Niklas Dexheimer Claudia Strauch Lukas Trottner 87 9 0 31 Oct 2020