Local Polynomial Estimation of Time-Dependent Diffusion Parameter for Discretely Observed SDE Models

被引：1

作者：

Wang, Ji-xia ^{[1
]}

Xiao, Qing-xian ^{[2
]}

机构：

[1] Henan Normal Univ, Coll Math & Informat Sci, Xinxiang 453007, Peoples R China

[2] Shanghai Univ Sci & Technol, Sch Business, Shanghai 200093, Peoples R China

来源：

FILOMAT | 2014年 / 28卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Diffusion model; Time-dependent parameter; Local polynomial estimation; Kernel weighted; Asymptotic normality; TERM STRUCTURE DYNAMICS;

D O I：

10.2298/FIL1404871W

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：871 / 878

页数：8

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