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Omari, M.E.* ; Maroufy, H.E.* ; Fuchs, C.

Statistical inference for discretely observed fractional diffusion processes with random effects.

Commun. Math. Stat., DOI: 10.1007/s40304-024-00414-5 (2025)
DOI
Open Access Green möglich sobald Postprint bei der ZB eingereicht worden ist.
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.
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Publikationstyp Artikel: Journalartikel
Dokumenttyp Wissenschaftlicher Artikel
Schlagwörter Asymptotic Normality ; Fractional Brownian Motion ; Long-range Memory Process ; Random Effects Model ; Strong Consistency
ISSN (print) / ISBN 2194-6701
e-ISSN 2194-671X
Zeitschrift Communications in Mathematics and Statistics
Verlag Springer
Verlagsort Tiergartenstrasse 17, D-69121 Heidelberg, Germany
Begutachtungsstatus Peer reviewed
Institut(e) Institute of Computational Biology (ICB)
Förderungen Moroccan-German Scientific and Technics Programme
Morocco-German Scientific program