Non parametric estimation of the diffusion coefficient of a diffusion process
作者:
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1998)
卷期:
Volume 16,
issue 1
页码: 185-200
ISSN:0736-2994
年代: 1998
DOI:10.1080/07362999808809525
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
This paper deals with the nonparametric estimation of the diffusion coefficient of a diffusion process in the case when it depends only on time. the estimator is based on the regularization of the quadratic mean through multiscale analysis. We then define estimators of the second derivative of the diffusion coefficient, in order to obtain optimal bandwith and to perform a test of linearity. The results we obtain are quite similar to those of the estimation of the density function of an i.i.d. sequence
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