Non parametric estimation for fractional diffusion processes with random effects

DOI10.1080/02331888.2019.1581783zbMath1440.62318arXiv1901.05547OpenAlexW2963559852WikidataQ128307139 ScholiaQ128307139MaRDI QIDQ5384666

Christiane Fuchs, Mohamed El Omari, Hamid El Maroufy

Publication date: 24 June 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.05547

zbMATH Keywords

fractional Brownian motionnonparametric estimationrandom effects modeldensity estimatorhistogram estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations, Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects, Nonparametric estimation for small fractional diffusion processes with random effects, Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects

Uses Software

• MsdeParEst

Cites Work

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