Estimation for Stochastic Damping Hamiltonian Systems under Partial Observation. II Drift term

Abstract : This paper is the second part of our study started with \citet*{CLP}. For some ergodic hamiltonian systems we obtained a central limit theorem for a non-parametric estimator of the invariant density, under partial observation (only the positions are observed). Here we obtain similarly a central limit theorem for a non-parametric estimator of the drift term. This theorem lies on the previous result for the invariant density.
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Patrick Cattiaux, José R. León, Clémentine Prieur. Estimation for Stochastic Damping Hamiltonian Systems under Partial Observation. II Drift term. ALEA : Latin American Journal of Probability and Mathematical Statistics, Instituto Nacional de Matemática Pura e Aplicada, 2014, 11 (2), pp.359-384. ⟨hal-00877054v2⟩

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