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El Omari, M.* ; El Maroufy, H.* ; Fuchs, C.

Non parametric estimation for fractional diffusion processes with random effects.

Statistics 53, 753-769 (2019)
DOI Verlagsversion bestellen
We propose a nonparametric estimation for a class of fractional stochastic differential equations (FSDE) with random effects. We precisely consider general linear fractional stochastic differential equations with drift depending on random effects and non-random diffusion. We build ordinary kernel estimators and histogram estimators and study their risk (), when . Asymptotic results are evaluated as both and N tend to infinity.
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icb_biostatistics
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Publikationstyp Artikel: Journalartikel
Dokumenttyp Wissenschaftlicher Artikel
Schlagwörter Random Effects Model ; Fractional Brownian Motion ; Nonparametric Estimation ; Density Estimator ; Histogram Estimator ; 62g86 ; 60g22 ; 62g20; Maximum-likelihood Estimator
ISSN (print) / ISBN 0323-3944
e-ISSN 0233-1888
Zeitschrift Statistics
Quellenangaben Band: 53, Heft: 4, Seiten: 753-769 Artikelnummer: , Supplement: ,
Verlag Taylor & Francis
Verlagsort Abingdon, Oxon [u.a.]
Begutachtungsstatus