Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes

DOI10.1080/07362994.2011.581109zbMath1279.62177OpenAlexW2068592685MaRDI QIDQ5198944

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 10 August 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.581109

zbMATH Keywords

fractional Brownian motionlinear multiplierfractional diffusion processnonparametric estimation of trend

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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Cites Work

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• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• Statistical Inference for Fractional Diffusion Processes
• Identification of Nonstationary Diffusion Model by the Method of Sieves