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
收藏
页码：113 / 122
页数：10
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