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<p>This paper deals with the decongestion density estimators of the random effects in the drift of geometric fractional Brownian motion. We prove the consistency of the obtained estimators not only with the long-range dependence but also with the short-range dependence property. The performance of the proposed approach is examined through simulation. Moreover, we apply the proposed approach to analyzing the log return from real Nasdaq 100 index financial data.</p>

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Nonparametric Estimation for Fractional Geometric Model with Random Effects, with application to the Nasdaq-100 stock prices

  • 期刊论文

  • 发表日期：

    2025年7月25日

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  • Souad Ichi,
  • Hamid El Maroufy

摘要

This paper deals with the decongestion density estimators of the random effects in the drift of geometric fractional Brownian motion. We prove the consistency of the obtained estimators not only with the long-range dependence but also with the short-range dependence property. The performance of the proposed approach is examined through simulation. Moreover, we apply the proposed approach to analyzing the log return from real Nasdaq 100 index financial data.