On a Calculable Skorokhod's Integral Based Projection Estimator of the Drift Function in Fractional SDE
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866915554967683072 |
|---|---|
| author | Marie, Nicolas |
| author_facet | Marie, Nicolas |
| contents | This paper deals with a Skorokhod's integral based projection type estimator $\widehat b_m$ of the drift function $b_0$ computed from $N\in\mathbb N^*$ independent copies $X^1,\dots,X^N$ of the solution $X$ of $dX_t = b_0(X_t)dt +σdB_t$, where $B$ is a fractional Brownian motion of Hurst index $H\in (1/2,1)$. Skorokhod's integral based estimators cannot be calculated directly from $X^1,\dots,X^N$, but in this paper an $\mathbb L^2$-error bound is established on a calculable approximation of $\widehat b_m$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_04949 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On a Calculable Skorokhod's Integral Based Projection Estimator of the Drift Function in Fractional SDE Marie, Nicolas Statistics Theory Probability This paper deals with a Skorokhod's integral based projection type estimator $\widehat b_m$ of the drift function $b_0$ computed from $N\in\mathbb N^*$ independent copies $X^1,\dots,X^N$ of the solution $X$ of $dX_t = b_0(X_t)dt +σdB_t$, where $B$ is a fractional Brownian motion of Hurst index $H\in (1/2,1)$. Skorokhod's integral based estimators cannot be calculated directly from $X^1,\dots,X^N$, but in this paper an $\mathbb L^2$-error bound is established on a calculable approximation of $\widehat b_m$. |
| title | On a Calculable Skorokhod's Integral Based Projection Estimator of the Drift Function in Fractional SDE |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2307.04949 |