Nonparametric Estimation of the Trend in Reflected Fractional SDE

Abstract

This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.

10 pages

References in corpus (3)

• Statistical aspects of the fractional stochastic calculus
• Nonparametric Estimation in Fractional SDE
• Sweeping processes with stochastic perturbations generated by a fractional Brownian motion

Cited by in corpus (2)

• Nonparametric Estimation for I.I.D. Paths of Fractional SDE
• On a Computable Skorokhod's Integral Based Estimator of the Drift Parameter in Fractional SDE