Estimation for stochastic damping Hamiltonian systems under partial observation. III. Diffusion term
Abstract
This paper is the third part of our study started with Cattiaux, León and Prieur (2013, 2014). For some ergodic hamiltonian systems we obtained a central limit theorem for a non-parametric estimator of the invariant density (Cattiaux et al., 2014) and of the drift term (Cattiaux et al., 2013), under partial observation (only the positions are observed). Here we obtain similarly a central limit theorem for a non-parametric estimator of the diffusion term.
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