Estimation for stochastic damping Hamiltonian systems under partial observation. III. Diffusion term

Abstract

This paper is the third part of our study started with Cattiaux, León and Prieur [Stochastic Process. Appl. 124 (2014) 1236–1260; ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359–384]. For some ergodic Hamiltonian systems, we obtained a central limit theorem for a nonparametric estimator of the invariant density [Stochastic Process. Appl. 124 (2014) 1236–1260] and of the drift term [ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359–384], under partial observation (only the positions are observed). Here, we obtain similarly a central limit theorem for a nonparametric estimator of the diffusion term.