Local linear estimator for fractional diffusions

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Robust Locally Weighted Regression and Smoothing Scatterplots
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Variance estimator for fractional diffusions with variance and drift depending on time
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Nonparametric inference for fractional diffusion
Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion

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