Local polynomial estimation of time-dependent diffusion parameter for discretely observed SDE models
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Extending the results of Yu, Yu, Wang and Lin [10], we study the local polynomial estimation of the time-dependent diffusion parameter for time-inhomogeneous diffusion models. Considering the diffusion parameter being positive, we obtain the local polynomial estimation of the diffusion parameter by taking the diffusion parameter to be local log-polynomial fitting. The asymptotic bias, asymptotic variance and asymptotic normal distribution of the volatility function are discussed. A real data analysis is conducted to show the performance of the estimations proposed.
1997 ◽
Vol 92
(440)
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pp. 1536-1545
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2008 ◽
Vol 52
(5)
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pp. 2757-2777
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2007 ◽
Vol 1
(2)
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pp. 149-166
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2002 ◽
Vol 18
(2)
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pp. 227-241
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