论文标题
由布朗运动驱动的随机微分方程的非参数估计
Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion
论文作者
论文摘要
我们研究了由Hurst参数H> 1/2的分数布朗运动驱动的千古随机过程的漂移函数的非参数Nadaraya-Watson估计值。估计器基于离散观察到的随机过程。通过使用Ergodic特性和随机积分，我们获得了所提出的估计量的一致性。
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic processes. By using the ergodic properties and stochastic integral, we obtain the consistency of the proposed estimator.
