Nonparametric Estimation of Trend for Stochastic Processes Driven by G-Brownian Motion with Small Noise

Xuekang Zhang (), Shounian Deng () and Weiyin Fei ()
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Xuekang Zhang: Ministry of Education, Anhui Polytechnic University
Shounian Deng: Ministry of Education, Anhui Polytechnic University
Weiyin Fei: Ministry of Education, Anhui Polytechnic University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 2, 1-14

Abstract: Abstract The present paper deals with the problem of nonparametric estimation of the trend for stochastic processes driven by G-Brownian motion with small noise. The consistency, the bound on the rate of convergence, and the asymptotic distribution of the nonparametric estimator are studied. Finally, a numerical example is given to verify our theoretical results.

Keywords: Nonparametric estimation; G-Brownian motion; Small noise; Consistency; Asymptotic distribution; 60G65; 62G05 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-023-10045-y

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