Nonparametric Estimation of the Trend in Reflected Fractional SDE

Nicolas Marie (1, 2)

1 MODAL'X - Modélisation aléatoire de Paris X
2 ESME - ESME - École spéciale de mécanique et d'électricité

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.

Domaines: Probabilités [math.PR]; Statistiques [math.ST]

Nicolas Marie. Nonparametric Estimation of the Trend in Reflected Fractional SDE. Statistics and Probability Letters, In press. ⟨hal-02196414v1⟩