Nonparametric Estimation in Fractional SDE
Probability
2019-10-15 v2
Abstract
This paper deals with the consistency and a rate of convergence for a Nadaraya-Watson estimator of the drift function of a stochastic differential equation driven by an additive fractional noise. The results of this paper are obtained via both some long-time behavior properties of Hairer and some properties of the Skorokhod integral with respect to the fractional Brownian motion. These results are illustrated on the fractional Ornstein-Uhlenbeck process.
Keywords
Cite
@article{arxiv.1806.00115,
title = {Nonparametric Estimation in Fractional SDE},
author = {Fabienne Comte and Nicolas Marie},
journal= {arXiv preprint arXiv:1806.00115},
year = {2019}
}
Comments
21 pages