Nonparametric estimation for fractional diffusion processes with random effects

Nonparametric estimation for fractional diffusion processes with random effects

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 es...

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Hauptverfasser: Omari, M. El, Maroufy, H. El, Fuchs, C
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics - Statistics Theory
Statistics - Theory
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Zusammenfassung: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.
DOI:10.48550/arxiv.1901.05547