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Non parametric estimation for fractional diffusion processes with random effects.
Statistics 53, 753-769 (2019)
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.
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Publication type
Article: Journal article
Document type
Scientific Article
Keywords
Random Effects Model ; Fractional Brownian Motion ; Nonparametric Estimation ; Density Estimator ; Histogram Estimator ; 62g86 ; 60g22 ; 62g20; Maximum-likelihood Estimator
ISSN (print) / ISBN
0323-3944
e-ISSN
0233-1888
Journal
Statistics
Quellenangaben
Volume: 53,
Issue: 4,
Pages: 753-769
Publisher
Taylor & Francis
Publishing Place
Abingdon, Oxon [u.a.]
Non-patent literature
Publications
Reviewing status
Peer reviewed
Institute(s)
Institute of Computational Biology (ICB)