Reweighted Nadaraya-Watson estimation of jump-diffusion models

被引：14

作者：

Hanif, Muhammad ^{[1
]}

Wang HanChao ^{[1
]}

Lin ZhengYan ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China

来源：

SCIENCE CHINA-MATHEMATICS | 2012年 / 55卷 / 05期

基金：

中国国家自然科学基金;

关键词：

continuous time model; Harris recurrence; jump-diffusion model; local time; nonparametric estimation; RNW estimator; FUNCTIONAL ESTIMATION;

D O I：

10.1007/s11425-011-4340-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model. We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function.

引用

页码：1005 / 1016

页数：12

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