Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes

2022/09/05 by Б. Л. С. Пракаса Рао, Rao, B. L. S. Prakasa · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2209.02144

Abstract

We investigate the asymptotic properties of a kernel-type nonparametric estimator of the linear multiplier in models governed by a stochastic differential equation driven by a general Gaussian process.

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• Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck type process driven by a Hermite process

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