| Issue |
ESAIM: PS
Volume 23, 2019
|
|
|---|---|---|
| Page(s) | 1 - 36 | |
| DOI | https://doi.org/10.1051/ps/2018004 | |
| Published online | 11 March 2019 | |
Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data★
1
Escuela de Matemáticas, Facultad de Ciencias, Universidad Central de Venezuela and IMERL, Facultad de Ingeniería, UDELAR,
Montevideo, Uruguay.
2
Dpto. de Matemáticas, FACYT, Universidad de Carabobo,
Valence, Venezuela.
* Corresponding author: ruggiero@uc.edu.ve
Received:
27
October
2016
Accepted:
21
November
2017
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.
Mathematics Subject Classification: 62M05 / 60G10
Key words: Two dimensional hypoelliptic diffusion / stochastic damping Hamiltonian systems / likelihood estimator / consistency / discretely observed data
© EDP Sciences, SMAI 2019
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