Nonparametric estimation for i.i.d. paths of fractional SDE
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Publication:2243559
DOI10.1007/s11203-021-09246-4zbMath1477.62230arXiv2004.03417OpenAlexW3167992456MaRDI QIDQ2243559
Publication date: 11 November 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.03417
Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (3)
Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application ⋮ Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
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