Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes.

Authors :: Prakasa Rao, B. L. S.
Source :: Journal of Nonparametric Statistics. Dec2024, Vol. 36 Issue 4, p981-993. 13p.
Publication Year :: 2024
Abstract: We investigate the asymptotic properties of a kernel-type nonparametric estimator of the linear multiplier in models governed by a stochastic differential equation driven by a general Gaussian process. [ABSTRACT FROM AUTHOR]

Subjects :: *STOCHASTIC differential equations
*GAUSSIAN processes
*NONPARAMETRIC estimation
*STOCHASTIC models
*MULTIPLIERS (Mathematical analysis)

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