Apparaît dans la collection : Séminaire Parisien de Statistique

We study the problem of the non-parametric estimation for the density π of the stationary distribution of the multivariate stochastic differential equation with jumps (Xt)0≤t≤T, when the dimension d is such that d≥3. From the continuous observation of the sampling path on [0,T] we show that, under anisotropic Hölder smoothness constraints, kernel based estimators can achieve fast convergence rates. In particular, they are as fast as the ones found by Dalalyan and Reiss [11] for the estimation of the invariant density in the case without jumps under isotropic Hölder smoothness constraints. Moreover, they are faster than the ones found by Strauch [32] for the invariant density estimation of continuous stochastic differential equations, under anisotropic Hölder smoothness constraints. Furthermore, we obtain a minimax lower bound on the L2-risk for pointwise estimation, with the same rate up to a log(T) term. It implies that, on a class of diffusions whose invariant density belongs to the anisotropic Holder class we are considering, it is impossible to find an estimator with a rate of estimation faster than the one we propose.