On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE (Q6493984): Difference between revisions

Latest revision as of 13:14, 3 December 2024

scientific article; zbMATH DE number 7839696

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English	On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE	scientific article; zbMATH DE number 7839696

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instance of

scholarly article

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title

On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE (English)

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author

Nicolas Marie

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published in

Statistical Inference for Stochastic Processes

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publication date

29 April 2024

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MaRDI profile type

MaRDI publication profile

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cites work

Nonparametric drift estimation for i.i.d. paths of stochastic differential equations

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Nonparametric estimation in fractional SDE

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Nonparametric estimation for i.i.d. paths of fractional SDE

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Selected topics in Malliavin calculus. Chaos, divergence and so much more

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Ergodic theory for SDEs with extrinsic memory

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion

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Some explicit statistical results about elementary fractional type models.

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Parameter estimation in fractional diffusion models

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On the (non)stationary density of fractional-driven stochastic differential equations

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Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application

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A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

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Nonparametric inference for fractional diffusion

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Statistical aspects of the fractional stochastic calculus

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Identifiers

DOI

10.1007/s11203-024-09306-5

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Mathematics Subject Classification ID

62Mxx

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zbMATH DE Number

7839696

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Sitelinks

Mathematics(1 entry)

mardi Publication:6493984

@@ Property / cites work @@
+Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation in fractional SDE
@@ Property / cites work: Nonparametric estimation in fractional SDE / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation for i.i.d. paths of fractional SDE
+Normal rank
@@ Property / cites work @@
+Selected topics in Malliavin calculus. Chaos, divergence and so much more
+Normal rank
@@ Property / cites work @@
+Ergodic theory for SDEs with extrinsic memory
@@ Property / cites work: Ergodic theory for SDEs with extrinsic memory / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Some explicit statistical results about elementary fractional type models.
+Normal rank
@@ Property / cites work @@
+Parameter estimation in fractional diffusion models
+Normal rank
@@ Property / cites work @@
+On the (non)stationary density of fractional-driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application
+Normal rank
@@ Property / cites work @@
+A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
+Normal rank
@@ Property / cites work @@
+Nonparametric inference for fractional diffusion
@@ Property / cites work: Nonparametric inference for fractional diffusion / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical aspects of the fractional stochastic calculus
+Normal rank