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.
Authors
- Hamid El Maroufy (ORCID: https://orcid.org/0000-0001-6113-7543)
- Mohamed El Omari (ORCID: https://orcid.org/0000-0003-0336-9092)
- Mohammed Er-rachidi
Institutions
- Université Sultan Moulay Slimane (MA)
- Chouaib Doukkali University (MA)
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
- 0.00