Nonparametric estimation for fractional diffusion processes with random effects

2019/01/16 by Omari, M. El, Maroufy, H. El, Fuchs, C. · 1 citation
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1901.05547

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.

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