Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion

We study the problem of nonparametric estimation of linear multiplier function for processes satisfying stochastic differential equations of the type where is a subfractional Brownian motion with known Hurst index H and study the asymptotic behavior of the estimator as

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Bibliographic Details
Published inStochastic analysis and applications Vol. 37; no. 5; pp. 799 - 810
Main Author Prakasa Rao, B. L. S.
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 03.09.2019
Taylor & Francis Ltd
Subjects
Asymptotic properties
Brownian motion
Differential equations
Economic models
linear multiplier
Nonparametric estimation
Nonparametric statistics
Primary 62M09
Secondary 62G05
subfractional Brownian motion
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Summary:We study the problem of nonparametric estimation of linear multiplier function for processes satisfying stochastic differential equations of the type where is a subfractional Brownian motion with known Hurst index H and study the asymptotic behavior of the estimator as
ISSN:0736-2994
1532-9356
DOI:10.1080/07362994.2019.1611450