Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects

DOI10.1007/s13171-020-00230-3zbMath1479.62067OpenAlexW3110119765WikidataQ115376143 ScholiaQ115376143MaRDI QIDQ2051008

B. L. S. Prakasa Rao

Publication date: 1 September 2021

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-020-00230-3

zbMATH Keywords

stochastic differential equationrandom effectskernel methodnonparametric estimationmixed fractional Brownian motion

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 (2)

Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects ⋮ Fractional processes and their statistical inference: an overview

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