Estimation of the diffusion coefficient under strong mixing

被引：0

作者：

Arfi, M ^{[1
]}

Lecoutre, JP ^{[1
]}

机构：

[1] Univ Paris 06, UPRESA Stat & Modeles Aleatoires 7055, F-75252 Paris 05, France

来源：

STATISTICS | 1999年 / 33卷 / 01期

关键词：

diffusion coefficient; kernel estimate; strong mixing;

D O I：

10.1080/02331889908802682

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：

We consider an estimate of the diffusion coefficient which arises in a stochastic differential equation, defining a certain time-continuous process. The used equation is: d(X)t = sigma(X-t)dW(t), t is an element of R+ where (W-t; t is an element of R+) is a standard Brownian motion and sigma is the diffusion coefficient. We obtain the pointwise and uniform almost sure consistency for the kernel estimate of the diffusion coefficient under a strong mixing condition.

引用

页码：73 / 84

页数：12

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