TY  - JOUR
AB  - We address statistical inference for linear fractional diffusion processes with random effects in the drift. In particular, we investigate maximum likelihood estimators (MLEs) of the random effect parameters. First of all, we estimate the Hurst parameter H∈(0,1) from one single subject. Second, assuming that the Hurst index H∈(0,1) is known, we derive the MLEs and examine their asymptotic behavior as the number of subjects under study becomes large, with random effects being normally distributed.
AU  - Omari, M.E.*
AU  - Maroufy, H.E.*
AU  - Fuchs, C.
C1  - 74052
C2  - 57309
CY  - Tiergartenstrasse 17, D-69121 Heidelberg, Germany
TI  - Statistical inference for discretely observed fractional diffusion processes with random effects.
JO  - Commun. Math. Stat.
PB  - Springer Heidelberg
PY  - 2025
SN  - 2194-6701
ER  -