Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process

DOI10.1007/S42519-020-00138-ZMaRDI QIDQ2223148zbMATH OpenOpenAlexWikidataFDO

Authors B. L. S. Prakasa Rao

Publication date 28 January 2021

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42519-020-00138-z

zbMATH Keywords

fractional Lévy processkernel methodnonparametric estimationsmall noisestochastic differential equationtrend coefficient

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Density estimation (62G07) Non-Markovian processes: estimation (62M09)

Cites work

• A unifying approach to fractional Lévy processes
• Finite variation of fractional Lévy processes
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• Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Maximal inequalities for fractional Lévy and related processes
• Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck type processes
• Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process
• Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
• Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
• Spectral representations of infinitely divisible processes
• Statistical inference for fractional diffusion processes
• Stochastic calculus for fractional Brownian motion and related processes.

Cited in

(4)

• Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Nonparametric estimation of the trend in reflected fractional SDE
• NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE

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