Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
ESAIM: Probability and Statistics, Tome 23 (2019), pp. 1-36.

In this work we prove the consistency of an estimator for a stochastic damping Hamiltonian system considering that both position and velocity are observed. Next we perform some simulations, including the case when only position is available, to see how the estimators work numerically and then compare the obtained results with those obtained by other authors.

Reçu le :
Accepté le :
DOI : 10.1051/ps/2018004
Classification : 62M05, 60G10
Mots-clés : Two dimensional hypoelliptic diffusion, stochastic damping Hamiltonian systems, likelihood estimator, consistency, discretely observed data
León, José Rafael 1 ; Rodríguez, Luis-Ángel 1 ; Ruggiero, Roberto 1

1 
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     author = {Le\'on, Jos\'e Rafael and Rodr{\'\i}guez, Luis-\'Angel and Ruggiero, Roberto},
     title = {Consistency of a likelihood estimator for stochastic damping {Hamiltonian} systems. {Totally} observed data},
     journal = {ESAIM: Probability and Statistics},
     pages = {1--36},
     publisher = {EDP-Sciences},
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     year = {2019},
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León, José Rafael; Rodríguez, Luis-Ángel; Ruggiero, Roberto. Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data. ESAIM: Probability and Statistics, Tome 23 (2019), pp. 1-36. doi : 10.1051/ps/2018004. http://www.numdam.org/articles/10.1051/ps/2018004/

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