Projection Estimators of the Stationary Density of a Differential Equation Driven by the Fractional Brownian Motion
arXiv:2104.01144 · doi:10.1016/j.spl.2021.109244
Abstract
The paper deals with projection estimators of the density of the stationary solution to a differential equation driven by the fractional Brownian motion under a dissipativity condition on the drift function. A model selection method is provided and, thanks to the concentration inequality for Lipschitz functionals of discrete samples of proved in Bertin et al. (2020), an oracle inequality is established for the adaptive estimator.
11 pages, 2 figures