Nonparametric inference for fractional diffusion

DOI10.3150/13-BEJ509zbMath1400.62069arXiv1111.0446OpenAlexW3105763466MaRDI QIDQ2448715

Bruno Saussereau

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.0446

zbMATH Keywords

Nadaraya-Watson kernel type estimatordissipative Lipschitz conditionnon-parametric diffusion model

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)

Related Items (11)

Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Unnamed Item ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion ⋮ Nonparametric estimation for i.i.d. paths of fractional SDE ⋮ Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion ⋮ Nonparametric estimation of the trend in reflected fractional SDE ⋮ Unnamed Item ⋮ Nonparametric estimation in fractional SDE

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