Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion
Statistics Theory
2022-05-03 v1 Methodology
Statistics Theory
Abstract
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic processes. By using the ergodic properties and stochastic integral, we obtain the consistency of the proposed estimator.
Cite
@article{arxiv.2205.00144,
title = {Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion},
author = {Han Yuecai and Zhang Dingwen},
journal= {arXiv preprint arXiv:2205.00144},
year = {2022}
}