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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 as soon as Postprint is submitted to ZB.
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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Publication type Article: Journal article
Document type Scientific Article
Keywords Asymptotic Normality ; Fractional Brownian Motion ; Long-range Memory Process ; Random Effects Model ; Strong Consistency
ISSN (print) / ISBN 2194-6701
e-ISSN 2194-671X
Journal Communications in Mathematics and Statistics
Publisher Springer
Publishing Place Tiergartenstrasse 17, D-69121 Heidelberg, Germany
Reviewing status Peer reviewed
Institute(s) Institute of Computational Biology (ICB)
Grants Moroccan-German Scientific and Technics Programme
Morocco-German Scientific program