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Article Dans Une Revue Electronic Journal of Statistics Année : 2020

A GENERAL DRIFT ESTIMATION PROCEDURE FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH ADDITIVE FRACTIONAL NOISE

Résumé

In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is based on the identification of the invariant measure, and we provide consistency results as well as some information about the convergence rate. We also give some examples of coefficients for which the identifiability assumption for the invariant measure is satisfied.
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Dates et versions

hal-02077420 , version 1 (22-03-2019)
hal-02077420 , version 2 (26-02-2020)

Identifiants

Citer

Fabien Panloup, Samy Tindel, Maylis Varvenne. A GENERAL DRIFT ESTIMATION PROCEDURE FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH ADDITIVE FRACTIONAL NOISE. Electronic Journal of Statistics , 2020, 14 (1), pp.1075-1136. ⟨10.1214/20-EJS1685⟩. ⟨hal-02077420v2⟩
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