Nonparametric Estimation of the Trend in Reflected Fractional SDE

Nicolas Marie

doi:10.1016/j.spl.2019.108659

Journal articles

Nonparametric Estimation of the Trend in Reflected Fractional SDE

Nicolas Marie ^{1, 2}

1 MODAL'X - Modélisation aléatoire de Paris X

2 ESME Sudria [Paris]

Abstract : This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.

Keywords : Sweeping process Skorokhod reflection problem Trend estimation Nonparametric estimation Stochastic differential equations Fractional Brownian motion

Document type :

Journal articles

Domain :

Mathematics [math] / Probability [math.PR]

Mathematics [math] / Statistics [math.ST]

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Submitted on : Wednesday, November 6, 2019 - 8:19:36 PM
Last modification on : Saturday, February 19, 2022 - 12:03:58 PM

Nonparametric Estimation of the Trend in Reflected Fractional SDE

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Nonparametric Estimation of the Trend in Reflected Fractional SDE

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