Nonparametric estimation of linear multiplier for processes driven by a bifractional Brownian motion
Abstract
We study the problem of nonparametric estimation of the linear multiplier function θ(.) for processes satisfying stochastic differential equations of the type dXt=θ(t)Xtdt+ϵdWtH,K,X0=x0,0≤t≤Twhere {WtH,K,t≥0} is a bifractional Brownian motion with known parameters H∈(0,1),K∈(0,1] such that HK∈(12,1). We study the asymptotic behaviour of the estimator of the unknown function θ(.) as ϵ→0.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Stochastic processes and financial applications
Complex Systems and Time Series Analysis
Publication details
- Journal / source
- Statistics
- Volume
- 60
- Issue
- 5
- Pages
- 1530–1543
- Publication date
- 8 January 2026
- Language
- EN