Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion (2205.00144v1)

Abstract: 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 estimator is based on the discretely observed stochastic processes. By using the ergodic properties and stochastic integral, we obtain the consistency of the proposed estimator.