Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes
Invariant density adaptive estimation for ergodic jump diffusion processes over anisotropic classes
We consider the solution X = (Xt) t$\ge$0 of a multivariate stochastic differential equation with Levy-type jumps and with unique invariant probability measure with density $\mu$. We assume that a continuous record of observations X T = (Xt) 0$\le$t$\le$T is available. In the case without jumps, Reiss and Dalalyan (2007) …