Recursive Estimation for Stochastic Damping Hamiltonian Systems
Résumé
In this paper, we complete our previous works (Cattiaux, Leon and Prieur, 2014-a, b and c) on the (non-parametric) estimation of the characteristics (invariant density, drift term,variance term) of some ergodic hamiltonian systems, under partial observations. More precisely, we introduce recursive estimators using the full strength of the ergodic behavior. We compare the theoretical results obtained with these estimators to the results we proved for the ones we have introduced previously.
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