Non parametric estimation for fractional diffusion processes with random effects

El Omari M, El Maroufy H, Fuchs C (2019)
STATISTICS 53(4): 753-769.

Download
Es wurde kein Volltext hochgeladen. Nur Publikationsnachweis!
Zeitschriftenaufsatz | Veröffentlicht | Englisch
Autor/in
; ;
Abstract / Bemerkung
We propose a nonparametric estimation for a class of fractional stochastic differential equations (FSDE) with random effects. We precisely consider general linear fractional stochastic differential equations with drift depending on random effects and non-random diffusion. We build ordinary kernel estimators and histogram estimators and study their risk (), when . Asymptotic results are evaluated as both and N tend to infinity.
Erscheinungsjahr
Zeitschriftentitel
STATISTICS
Band
53
Ausgabe
4
Seite(n)
753-769
ISSN
eISSN
PUB-ID

Zitieren

El Omari M, El Maroufy H, Fuchs C. Non parametric estimation for fractional diffusion processes with random effects. STATISTICS. 2019;53(4):753-769.
El Omari, M., El Maroufy, H., & Fuchs, C. (2019). Non parametric estimation for fractional diffusion processes with random effects. STATISTICS, 53(4), 753-769. doi:10.1080/02331888.2019.1581783
El Omari, M., El Maroufy, H., and Fuchs, C. (2019). Non parametric estimation for fractional diffusion processes with random effects. STATISTICS 53, 753-769.
El Omari, M., El Maroufy, H., & Fuchs, C., 2019. Non parametric estimation for fractional diffusion processes with random effects. STATISTICS, 53(4), p 753-769.
M. El Omari, H. El Maroufy, and C. Fuchs, “Non parametric estimation for fractional diffusion processes with random effects”, STATISTICS, vol. 53, 2019, pp. 753-769.
El Omari, M., El Maroufy, H., Fuchs, C.: Non parametric estimation for fractional diffusion processes with random effects. STATISTICS. 53, 753-769 (2019).
El Omari, Mohamed, El Maroufy, Hamid, and Fuchs, Christiane. “Non parametric estimation for fractional diffusion processes with random effects”. STATISTICS 53.4 (2019): 753-769.