On a calculable Skorokhod ’s integral based projection estimator of the drift function in fractional SDE

AbstractThis 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 solutionX of\(dX_t = b_0(X_t)dt +\sigma dB_t\), whereB 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\({\widehat{b}}_m\).

Source: European Journal of Applied Physiology - April 13, 2024 Category: Physiology Source Type: research