Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

被引：5

作者：

Rao, B. L. S. Prakasa ^{[1
]}

机构：

[1] CR RAO Adv Inst Math Stat & Comp Sci, Hyderabad 500046, India

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2020年 / 28卷 / 02期

关键词：

Linear stochastic differential equation; trend coefficient; nonparametric estimation; kernel method; small noise; sub-fractional Brownian motion; PARAMETRIC-ESTIMATION; DRIFT;

D O I：

10.1515/rose-2020-2032

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We discuss nonparametric estimation of a trend coefficient in models governed by a stochastic differential equation driven by a sub-fractional Brownian motion with small noise.

引用

页码：113 / 122

页数：10

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