Modelization and Nonparametric estimation for a dynamical system with noise

Dominique Guegan (1) , D. Bosq (2) , Delphine Blanke (2)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie
2 LSTA - Laboratoire de Statistique Théorique et Appliquée

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.

Mots clés: Invariant measure; Chaos theory; Non parametric estimation deconvolution

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan, D. Bosq, Delphine Blanke. Modelization and Nonparametric estimation for a dynamical system with noise. Journal of Statistical Planning and Inference, 2003, 6, pp.267 - 290. ⟨halshs-00201315⟩