Nonparametric Regression with Subfractional Brownian Motion via Malliavin Calculus

Yuquan Cang, Junfeng Liu and Yan Zhang

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: We study the asymptotic behavior of the sequence Sn=∑i=0n-1K(nαSiH1)(Si+1H2-SiH2), as n tends to infinity, where SH1 and SH2 are two independent subfractional Brownian motions with indices H1 and H2, respectively. K is a kernel function and the bandwidth parameter α satisfies some hypotheses in terms of H1 and H2. Its limiting distribution is a mixed normal law involving the local time of the sub‐fractional Brownian motion SH1. 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)
https://doi.org/10.1155/2014/635917

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:wly:jnlaaa:v:2014:y:2014:i:1:n:635917

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().