Nonparametric inference for fractional diffusion
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Abstract: A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two methods. On one hand, we propose a locally linear estimator based on the local approximation of the drift by a linear function. On the other hand, a Nadaraya-Watson kernel type estimator is studied. In both cases, some non-asymptotic results are proposed by means of deviation probability bound. The consistency property of the estimators are obtained under a one sided dissipative Lipschitz condition on the drift that insures the ergodic property for the stochastic differential equation. Our estimators are first constructed under continuous observations. The drift function is then estimated with discrete time observations that is of the most importance for practical applications.
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Cited in
(20)- Nonparametric estimation in fractional SDE
- Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
- Nonparametric estimation of the trend in reflected fractional SDE
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Minimum Contrast Estimation for Fractional Diffusions
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Nonparametric estimation of trend function for stochastic differential equations driven by a weighted fractional Brownian motion
- Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
- Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
- Non parametric estimation for fractional diffusion processes with random effects
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