Nonparametric Estimation of Trend for Stochastic Processes Driven by G-Brownian Motion with Small Noise

被引：1
作者：
Zhang, Xuekang [1 ,2 ]
Deng, Shounian [1 ,2 ]
Fei, Weiyin [1 ,2 ]
机构：
[1] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China
[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent, Control High end Equipment, Minist Educ, Wuhu 241000, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2023年 / 25卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Nonparametric estimation; G-Brownian motion; Small noise; Consistency; Asymptotic distribution; DIFFERENTIAL-EQUATIONS DRIVEN; EXPECTATION; CALCULUS; THEOREM;
D O I：
10.1007/s11009-023-10045-y
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：
The present paper deals with the problem of nonparametric estimation of the trend for stochastic processes driven by G-Brownian motion with small noise. The consistency, the bound on the rate of convergence, and the asymptotic distribution of the nonparametric estimator are studied. Finally, a numerical example is given to verify our theoretical results.
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页数：14
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