Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion

Han Yuecai; Zhang Dingwen

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arXiv · 2205.00144

Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion

Han Yuecai·Zhang Dingwen

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Abstract

We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic processes. By using the ergodic properties and stochastic integral, we obtain the consistency of the proposed estimator.

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BibTeX RIS

Han Yuecai, Zhang Dingwen. 2022-04-30. Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion. https://arxiv.org/abs/2205.00144

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