Article ID Journal Published Year Pages File Type
10527389 Stochastic Processes and their Applications 2014 25 Pages PDF
Abstract
In this paper, we study the non-parametric estimation of the invariant density of some ergodic hamiltonian systems, using kernel estimators. The main result is a central limit theorem for such estimators under partial observation (only the positions are observed). The main tools are mixing estimates and refined covariance inequalities, the main difficulty being the strong degeneracy of such processes. This is the first paper of a series of at least two, devoted to the estimation of the characteristics of such processes: invariant density, drift term, volatility.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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