Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects

被引：4

作者：

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

机构：

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

来源：

SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY | 2021年 / 83卷 / 02期

关键词：

Stochastic differential equation; random effects; nonparametric estimation; Kernel method; mixed fractional Brownian motion; PARAMETRIC-ESTIMATION; CONVERGENCE; UNIQUENESS; EXISTENCE;

D O I：

10.1007/s13171-020-00230-3

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 the density of random effects in models governed by a stochastic differential equation driven by a mixed fractional Brownian motion.

引用

页码：554 / 568

页数：15

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