Local Linear Estimation of Second-Order Diffusion Models

被引：21
|
作者：
Wang, Hanchao [1 ]
Lin, Zhengyan [1 ]
机构：
[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 03期
关键词：
Local linear estimation; N-W estimator; Second-order diffusion model; NONPARAMETRIC-ESTIMATION; COEFFICIENT;
D O I：
10.1080/03610920903391345
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we present the local linear estimations for diffusion coefficient and drift coefficient in the second-order diffusion model. We show that under mild conditions, the estimators are weak consistent. We also use a Monte Carlo experiment to compare our estimators with the ones in Nicolau (2007).
引用
收藏
页码：394 / 407
页数：14
相关论文
共 50 条
  • [1] Local Linear Estimation of Second-order Jump-diffusion Model
    Chen, Yingyu
    Zhang, Lixin
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2015, 44 (18) : 3903 - 3920
  • [2] On second-order statistics and linear estimation of cepstral coefficients
    Ephraim, Y
    Rahim, M
    [J]. IEEE TRANSACTIONS ON SPEECH AND AUDIO PROCESSING, 1999, 7 (02): : 162 - 176
  • [3] Estimation in Second-Order Models with Errors in the Factor Levels
    Ardakani, Mostafa K.
    Das, Debashis
    Wulff, Shaun S.
    Robinson, Timothy J.
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2011, 40 (09) : 1573 - 1590
  • [4] Widely Linear Estimation Algorithms for Second-Order Stationary Signals
    Navarro-Moreno, Jesus
    Moreno-Kayser, Javier
    Maria Fernandez-Alcala, Rosa
    Carlos Ruiz-Molina, Juan
    [J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2009, 57 (12) : 4930 - 4935
  • [5] A test for a parametric form of the volatility in second-order diffusion models
    Yan, Tianshun
    Mei, Changlin
    [J]. COMPUTATIONAL STATISTICS, 2017, 32 (04) : 1583 - 1596
  • [6] A test for a parametric form of the volatility in second-order diffusion models
    Tianshun Yan
    Changlin Mei
    [J]. Computational Statistics, 2017, 32 : 1583 - 1596
  • [7] Local second-order boundary methods for lattice Boltzmann models
    Ginzbourg, I
    dHumieres, D
    [J]. JOURNAL OF STATISTICAL PHYSICS, 1996, 84 (5-6) : 927 - 971
  • [8] What causes the divergences in local second-order closure models?
    Canuto, VM
    Cheng, Y
    Howard, AM
    [J]. JOURNAL OF THE ATMOSPHERIC SCIENCES, 2005, 62 (05) : 1645 - 1651
  • [9] Integrated estimation/identification using second-order dynamic models
    Crassidis, JL
    Mook, DJ
    [J]. JOURNAL OF VIBRATION AND ACOUSTICS-TRANSACTIONS OF THE ASME, 1997, 119 (01): : 1 - 8
  • [10] Second-order least squares estimation of censored regression models
    Abarin, Taraneh
    Wang, Liqun
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2009, 139 (02) : 125 - 135
12345