Nonparametric Estimation of Linear Multiplier for Processes Driven by Mixed fractional Brownian Motion
B. L. S. Prakasa Rao
Abstract:We study the problem of nonparametric estimation of linear multiplier function θ(t) for processes satisfying stochastic differential equations of the typewhere { W H t , t ≥ 0} is a mixed fractional Brownian motion with known Hurst index H and study the asymptotic behaviour of the estimator as ǫ → 0.
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