Non parametric estimation for fractional diffusion processes with random effects
From MaRDI portal
(Redirected from Publication:5384666)
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.
Recommendations
- Nonparametric estimation for small fractional diffusion processes with random effects
- Nonparametric estimation for stochastic differential equations with random effects
- Nonparametric inference for fractional diffusion
- Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
- Nonparametric estimation in fractional SDE
Cites work
- Asymptotic Statistics
- Comparison of nonparametric methods in nonlinear mixed effects models
- Convergence rate of MLE in generalized linear and nonlinear mixed-effects models: Theory and applications
- Differential equations driven by fractional Brownian motion
- Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional {O}rnstein-{U}hlenbeck processes
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- scientific article; zbMATH DE number 3870398 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 2118800 (Why is no real title available?)
- Introduction to nonparametric estimation
- Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
- Mixed effects in stochastic differential equation models
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation in stochastic differential equations.
- Practical estimation of high dimensional stochastic differential mixed-effects models
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical aspects of the fractional stochastic calculus
- Statistical inference for fractional diffusion processes
- Stochastic differential mixed-effect models
- Strong consistency of MLE in nonlinear mixed-effects models with large cluster size
- Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
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
- Nonparametric estimation of the trend in reflected fractional SDE
- Nonparametric estimation for stochastic differential equations with random effects
- Nonparametric inference for fractional diffusion
- scientific article; zbMATH DE number 4126536 (Why is no real title available?)
- Nonparametric estimation for small fractional diffusion processes with random effects
- Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
- Nonparametric estimation of linear multiplier for fractional diffusion processes
- Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
- Nonparametric estimation for random effects models driven by fractional Brownian motion using Hermite polynomials
- Random effects estimation in a fractional diffusion model based on continuous observations
- Kernel estimators for q-fractional diffusion processes with random effects using q-calculus
- Nonparametric estimation for distribution dependent SDEs driven by fractional Brownian motions with random effects
- Likelihood estimation for stochastic differential equations with mixed effects
- Nonparametric estimation for stochastic differential equations driven by Hermite processes with random effects
This page was built for publication: Non parametric estimation for fractional diffusion processes with random effects
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5384666)
