Nonparametric estimation of the trend in reflected fractional SDE

Nicolas Marie

Statistics & Probability Letters, 2020, vol. 158, issue C

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: Nonparametric estimation; Trend estimation; Skorokhod reflection problem; Sweeping process; Fractional Brownian motion; Stochastic differential equations (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108659

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