Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects

B. L. S. Prakasa Rao ()
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B. L. S. Prakasa Rao: CR RAO Advanced Institute of Mathematics, Statistics and Computer Science

Sankhya A: The Indian Journal of Statistics, 2021, vol. 83, issue 2, No 3, 554-568

Abstract: Abstract We discuss nonparametric estimation of the density of random effects in models governed by a stochastic differential equation driven by a mixed fractional Brownian motion.

Keywords: Stochastic differential equation; random effects; nonparametric estimation; Kernel method; mixed fractional Brownian motion.; Primary 62G20; Secondary 60G22 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s13171-020-00230-3

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