Local polynomial estimations of time-varying coefficients for local stationary diffusion models

被引：0
|
作者：
Jixia Wang
Qingxian Xiao
机构：
[1] University of Shanghai for Science and Technology,Business School
[2] Henan Normal University,College of Mathematics and Information Science
来源：
Journal of Inequalities and Applications | / 2014卷
关键词：
local stationary model; local polynomial fitting; consistency; asymptotic normality; convergence rate;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper is dedicated to the study of local polynomial estimations of time-varying coefficients for a local stationary diffusion model. Based on local polynomial fitting, the estimations of drift parametric functions are obtained by using local weighted least squares method. By applying the forward Kolmogorov equation, the estimation of the diffusion coefficient is proposed. The consistency, asymptotic normality and uniform convergence of the estimations that we proposed are established.
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