Nonparametric estimation for fractional diffusion processes with random effects

M. El Omari; H. El Maroufy; C. Fuchs

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arXiv · 1901.05547

Nonparametric estimation for fractional diffusion processes with random effects

M. El Omari·H. El Maroufy·C. Fuchs

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Abstract

We propose a nonparametric estimation for a class of fractional stochastic differential equations (FSDE) with random effects. We precisely consider general linear fractional stochastic differential equations with drift depending on random effects and non-random diffusion. We build ordinary kernel estimators and histogram estimators and study their Lp-risk (p =1 or 2), when H>1/2. Asymptotic results are evaluated as both T = T(N) and N tend to infinity.

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M. El Omari, H. El Maroufy, C. Fuchs. 2019-01-16. Nonparametric estimation for fractional diffusion processes with random effects. https://arxiv.org/abs/1901.05547

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