Non parametric estimation for fractional diffusion processes with random effects
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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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Cited in
(18)- Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
- Nonparametric estimation for i.i.d. paths of fractional SDE
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