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
收藏
页码：554 / 568
页数：15
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