Optimal convergence rates for the invariant density estimation of
jump-diffusion processes

Optimal convergence rates for the invariant density estimation of jump-diffusion processes

21 January 2021

Eulalia Nualart

Papers citing "Optimal convergence rates for the invariant density estimation of jump-diffusion processes"

6 / 6 papers shown

Title
On the nonparametric inference of coefficients of self-exciting jump-diffusion Chiara Amorino Charlotte Dion A. Gloter Sarah Lemler 44 5 0 24 Nov 2020
Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes Chiara Amorino 20 8 0 24 Nov 2020
Mixing it up: A general framework for Markovian statistics Niklas Dexheimer Claudia Strauch Lukas Trottner 62 9 0 31 Oct 2020
Rate of Estimation for the Stationary Distribution of Stochastic Damping Hamiltonian Systems with Continuous Observations S. Delattre A. Gloter Nakahiro Yoshida 28 7 0 28 Jan 2020
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes Chiara Amorino A. Gloter 58 12 0 21 Jan 2020
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process Charlotte Dion Sarah Lemler 97 9 0 17 Apr 2019