Nonparametric estimation for i.i.d. paths of fractional SDE (Q2243559)

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English	Nonparametric estimation for i.i.d. paths of fractional SDE	scientific article

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instance of

scholarly article

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title

Nonparametric estimation for i.i.d. paths of fractional SDE (English)

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Statistical Inference for Stochastic Processes

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publication date

11 November 2021

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full work available at URL

https://arxiv.org/abs/2004.03417

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zbMATH Keywords

fractional Brownian motion

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nonparametric projection estimator

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stochastic differential equation

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describes a project that uses

MsdeParEst

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MaRDI profile type

MaRDI publication profile

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cites work

Q5558293

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Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)

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Stochastic Calculus for Fractional Brownian Motion and Applications

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Sobolev spaces associated to the harmonic oscillator

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On inference for fractional differential equations

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On the stability and accuracy of least squares approximations

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Correction to: ``On the stability and accuracy of least squares approximations''

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Regression function estimation as a partly inverse problem

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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 stochastic differential equations with random effects

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Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models

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Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

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Consistent procedures for multiclass classification of discrete diffusion paths

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Bidimensional random effect estimation in mixed stochastic differential model

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Q3434070

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Multidimensional Stochastic Processes as Rough Paths

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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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An Inequality for Hermite Polynomials

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Some explicit statistical results about elementary fractional type models.

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Q4841576

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Q3645225

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A generalized mean-reverting equation and applications

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Nonparametric estimation of the trend in reflected fractional SDE

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Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion

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

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Density formula and concentration inequalities with Malliavin calculus

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The Malliavin Calculus and Related Topics

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Practical estimation of high dimensional stochastic differential mixed-effects models

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Stochastic Differential Mixed-Effects Models

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A general drift estimation procedure for stochastic differential equations with additive fractional noise

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Nonparametric inference for fractional diffusion

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Variations and estimators for self-similarity parameters via Malliavin calculus

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Identifiers

zbMATH Open document ID

1477.62230

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DOI

10.1007/s11203-021-09246-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2243559