Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

DOI10.1515/rose-2020-2032zbMath1443.62237OpenAlexW3028803716MaRDI QIDQ778250

B. L. S. Prakasa Rao

Publication date: 2 July 2020

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2032

zbMATH Keywords

kernel methodnonparametric estimationsmall noiselinear stochastic differential equationsub-fractional Brownian motiontrend coefficient

Mathematics Subject Classification ID

Density estimation (62G07) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations ⋮ Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise ⋮ Maximum likelihood estimation for sub-fractional Vasicek model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• A series expansion of fractional Brownian motion
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• On the exponentials of fractional Ornstein-Uhlenbeck processes
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Sub-fractional Brownian motion and its relation to occupation times
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• Stochastic calculus for fractional Brownian motion and related processes.
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• On some maximal and integral inequalities for sub-fractional Brownian motion
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Statistical Inference for Fractional Diffusion Processes
• Stochastic Analysis of Mixed Fractional Gaussian Processes
• More on maximal inequalities for sub-fractional Brownian motion
• Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion
• Estimators for the Drift of Subfractional Brownian Motion
• Some properties of the sub-fractional Brownian motion

This page was built for publication: Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion