Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes

B. L. S. Prakasa Rao

Journal of Nonparametric Statistics, 2024, vol. 36, issue 4, 981-993

Abstract: We investigate the asymptotic properties of a kernel-type nonparametric estimator of the linear multiplier in models governed by a stochastic differential equation driven by a general Gaussian process.

Date: 2024
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DOI: 10.1080/10485252.2023.2288842

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