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

页码：394 / 407

页数：14

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