Nonparametric estimation for fractional diffusion processes with random effects
Statistics Theory
2019-01-18 v1 Statistics Theory
Abstract
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 Lp-risk (p =1 or 2), when H>1/2. Asymptotic results are evaluated as both T = T(N) and N tend to infinity.
Cite
@article{arxiv.1901.05547,
title = {Nonparametric estimation for fractional diffusion processes with random effects},
author = {M. El Omari and H. El Maroufy and C. Fuchs},
journal= {arXiv preprint arXiv:1901.05547},
year = {2019}
}
Comments
19 pages, 24 figures