Moments method of estimation for diffusion processes with random effects driven by fractional Brownian motion with real application

In this paper, we propose a moment method for inferring the parameters of random effects in a stochastic differential equation driven by fractional Brownian motion, where the likelihood function is generally difficult to formulate explicitly. We obtain moment estimators for the random effects, and we study their consistency and asymptotic normality. We then derive parameter estimates for specific random effects distributions. The theoretical results are supported by numerical simulations and illustrated through an empirical study on Asian financial data.

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Publication Details

Journal
Journal of Statistical Computation and Simulation
Published
2026-06-29
DOI
https://doi.org/10.1080/00949655.2026.2695926
Primary Topic
Fractional Differential Equations Solutions
Type
article
Field-Weighted Citation Impact
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article

Moments method of estimation for diffusion processes with random effects driven by fractional Brownian motion with real application

Hamid El Maroufy, Mohamed El Omari, Mohammed Er-rachidi
Journal of Statistical Computation and Simulation
Fractional Differential Equations Solutions
article

Moments method of estimation for diffusion processes with random effects driven by fractional Brownian motion with real application

Hamid El Maroufy, Mohamed El Omari, Mohammed Er-rachidi
article en

Abstract

In this paper, we propose a moment method for inferring the parameters of random effects in a stochastic differential equation driven by fractional Brownian motion, where the likelihood function is generally difficult to formulate explicitly. We obtain moment estimators for the random effects, and we study their consistency and asymptotic normality. We then derive parameter estimates for specific random effects distributions. The theoretical results are supported by numerical simulations and illustrated through an empirical study on Asian financial data.

Journal of Statistical Computation and Simulation
Université Sultan Moulay Slimane (MA), Chouaib Doukkali University (MA)
Decent work and economic growth
Openalex Percentile: Top 8%
Fractional Differential Equations Solutions
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