Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion

DOI10.1080/07362994.2019.1611450zbMath1464.62372arXiv1902.08375OpenAlexW2946268984WikidataQ127938763 ScholiaQ127938763MaRDI QIDQ5231189

B. L. S. Prakasa Rao

Publication date: 26 August 2019

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

Full work available at URL: https://arxiv.org/abs/1902.08375

zbMATH Keywords

stochastic differential equationlinear multipliernonparametric estimationsubfractional Brownian motion

Mathematics Subject Classification ID

Density estimation (62G07) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Fractional processes and their statistical inference: an overview

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
• 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
• Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes
• 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 linear multiplier for processes driven by subfractional Brownian motion