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Estimation of the Diffusion Coefficient Under Strong Mixing

 

作者: Mounir Arfi,   Jean-Pierre Lecoutre,  

 

期刊: Statistics  （Taylor Available online 1999）
卷期: Volume 33, issue 1  

页码: 73-84

 

ISSN:0233-1888

 

年代: 1999

 

DOI:10.1080/02331889908802682

 

出版商: Gordon & Breach Science Publishers

 

关键词: 60J60;62G05;62M05;Diffusion coefficient;kernel estimate;strong mixing

 

数据来源: Taylor

 

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:whereis a standard Brownian motion andσis 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.

 

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