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math.ST2022
Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion
Han Yuecai, Zhang Dingwen
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 est…
math.ST2022
Nonlinear Least Squares Estimator for Discretely Observed Reflected Stochastic Processes
Han Yuecai, Zhang Dingwen
We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method…