Modelization and Nonparametric estimation for a dynamical system with noise

Dominique Guegan (dominique.guegan@univ-paris1.fr), D. Bosq and Delphine Blanke (delphine.blanke@univ-avignon.fr)
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
D. Bosq: LSTA - Laboratoire de Statistique Théorique et Appliquée - UPMC - Université Pierre et Marie Curie - Paris 6 - CNRS - Centre National de la Recherche Scientifique
Delphine Blanke: LSTA - Laboratoire de Statistique Théorique et Appliquée - UPMC - Université Pierre et Marie Curie - Paris 6 - CNRS - Centre National de la Recherche Scientifique

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Abstract: We examine the effect of two specific noises on a dynamical system. We obtain consistent estimates with their rates of convergence for the invariant density for such a model. Some simulations are provided.

Keywords: Invariant measure; Chaos theory; Non parametric estimation deconvolution (search for similar items in EconPapers)
Date: 2003
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Published in Journal of Statistical Planning and Inference, 2003, 6, pp.267 - 290

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Related works:
Journal Article: Modelization and Nonparametric Estimation for Dynamical Systems with Noise (2003)
Working Paper: Modelization and Nonparametric Estimation for a Dynamical System with Noise (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00201315

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