Nonparametric Regression with Subfractional Brownian Motion via Malliavin Calculus

Yuquan Cang, Junfeng Liu and Yan Zhang

Abstract and Applied Analysis, 2014, vol. 2014, 1-14

Abstract:

We study the asymptotic behavior of the sequence as tends to infinity, where and are two independent subfractional Brownian motions with indices and , respectively. is a kernel function and the bandwidth parameter satisfies some hypotheses in terms of and . Its limiting distribution is a mixed normal law involving the local time of the sub-fractional Brownian motion . We mainly use the techniques of Malliavin calculus with respect to sub-fractional Brownian motion.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/AAA/2014/635917.pdf (application/pdf)
http://downloads.hindawi.com/journals/AAA/2014/635917.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:635917

DOI: 10.1155/2014/635917

Access Statistics for this article

More articles in Abstract and Applied Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().