Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk

IF 1.5 Q2 PHYSICS, MATHEMATICAL
Niklas Dexheimer, C. Strauch, Lukas Trottner
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引用次数: 1

Abstract

Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of estimators for the characteristics of the process in the minimax sense, it restricts the applicability of results to a rather constrained set of stochastic processes and in particular hardly allows incorporating jump structures. As a consequence, for many models of applied and theoretical interest, no statement can be made about the robustness of typical statistical procedures beyond the beautiful, but limited framework available in the literature. To contribute to the statistical understanding in more general situations, we demonstrate how combining βmixing assumptions on the process and heat kernel bounds on the transition density representing controls on the longand short-time transitional behaviour, allow to obtain sup-norm and L kernel invariant density estimation rates that match the well-understood case of reversible multidimensional diffusion processes and are faster than in a sampled discrete data scenario. Moreover, we demonstrate how, up to log-terms, optimal sup-norm adaptive invariant density estimation can be achieved within our framework, based on tight uniform moment bounds and deviation inequalities for empirical processes associated to additive functionals of Markov processes. The underlying assumptions are verifiable with classical tools from stability theory of continuous-time Markov processes and PDE techniques, which opens the door to evaluate statistical performance for a vast amount of popular Markov models. We highlight this point by showing how multidimensional jump SDEs with Lévy-driven jump part under different coefficient assumptions can be seamlessly integrated into our framework, thus establishing novel adaptive sup-norm estimation rates for this class of processes. MSC2020 subject classifications: Primary 62M05; secondary 62G05, 62G20, 60G10, 60J25
超范数风险下连续混合马尔可夫过程的自适应不变量密度估计
到目前为止,多维连续时间马尔可夫过程的非参数分析主要集中在特定模型的选择上,主要与半群的对称性有关。虽然这种方法允许在极小极大意义上研究过程特征的估计器的性能,但它限制了结果对一组相当受限的随机过程的适用性,特别是几乎不允许纳入跳跃结构。因此,对于许多应用和理论兴趣的模型,除了文献中可用的美丽但有限的框架之外,无法对典型统计程序的鲁棒性做出任何陈述。为了促进在更一般情况下的统计理解,我们展示了如何将过程和热核边界上的β混合假设结合在过渡密度上,代表对长时间和短时间过渡行为的控制,允许获得超范数和L核不变密度估计率,这些估计率与众所周知的可逆多维扩散过程的情况相匹配,并且比采样离散数据场景更快。此外,我们展示了如何在我们的框架内实现对数项的最优超范自适应不变量密度估计,基于与马尔可夫过程的加性泛函相关的经验过程的紧密一致矩界和偏差不等式。基本假设可以用连续时间马尔可夫过程稳定性理论和PDE技术的经典工具验证,这为评估大量流行的马尔可夫模型的统计性能打开了大门。我们强调了这一点,展示了在不同系数假设下,具有lsamv驱动的跳跃部分的多维跳跃SDEs如何无缝地集成到我们的框架中,从而为这类过程建立了新的自适应超范数估计率。MSC2020学科分类:初级62M05;次级62G05、62G20、60G10、60J25
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来源期刊
CiteScore
2.30
自引率
0.00%
发文量
16
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