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Non parametric estimation for fractional diffusion processes with random effects.

Statistics, accepted (2019)
as soon as is submitted to ZB.
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 L p risk (p = 1 or 2), when H > 1/2. Asymptotic results are evaluated as both T = T(N) and N tend to infinity.
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Publication type Article: Journal article
Document type Scientific Article
Keywords Density Estimator ; Fractional Brownian Motion ; Histogram Estimator ; Nonparametric Estimation ; Random Effects Model
Reviewing status