Nonparametric estimation of linear multiplier for fractional diffusion processes

DOI10.1080/07362994.2011.581109MaRDI QIDQ5198944zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date 10 August 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.581109

zbMATH Keywords

fractional Brownian motionfractional diffusion processlinear multipliernonparametric estimation of trend

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Recommendations

• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Nonparametric inference for fractional diffusion
• Non parametric estimation for fractional diffusion processes with random effects
• Nonparametric estimation in fractional SDE
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion

Cites work

• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• Identification of Nonstationary Diffusion Model by the Method of Sieves
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical inference for fractional diffusion processes

Cited in

(10)

• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
• NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
• Maximal and moment inequalities for demimartingales and N-demimartingales
• Nonparametric estimation for small fractional diffusion processes with random effects
• Nonparametric estimation of trend function for stochastic differential equations driven by a weighted fractional Brownian motion
• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Fractional processes and their statistical inference: an overview
• Nonparametric estimation for distribution dependent SDEs driven by fractional Brownian motions with random effects
• Nonparametric estimation of linear multiplier for processes driven by a bifractional Brownian motion

This page was built for publication: Nonparametric estimation of linear multiplier for fractional diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5198944)