Nonparametric robust function estimation for integrated diffusion processes
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Authors
Yunyan Wang
- School of Science, Jiangxi University of Science and Technology, No. 86, Hongqi Ave., Ganzhou, 341000, Jiangxi, P. R. China.
Mingtian Tang
- School of Science, Jiangxi University of Science and Technology, No. 86, Hongqi Ave., Ganzhou, 341000, Jiangxi, P. R. China.
Abstract
This paper considers local M-estimation of the unknown drift and diffusion functions of integrated
diffusion processes. We show that under appropriate conditions, the proposed estimators for drift and
diffusion functions in the integrated process are consistent, and the conditions that ensure the asymptotic
normality of these local M-estimators are also stated. The simulation studies show that the proposed
estimators perform better than the kernel estimator in robustness.
Share and Cite
ISRP Style
Yunyan Wang, Mingtian Tang, Nonparametric robust function estimation for integrated diffusion processes, Journal of Nonlinear Sciences and Applications, 9 (2016), no. 5, 3048--3065
AMA Style
Wang Yunyan, Tang Mingtian, Nonparametric robust function estimation for integrated diffusion processes. J. Nonlinear Sci. Appl. (2016); 9(5):3048--3065
Chicago/Turabian Style
Wang, Yunyan, Tang, Mingtian. "Nonparametric robust function estimation for integrated diffusion processes." Journal of Nonlinear Sciences and Applications, 9, no. 5 (2016): 3048--3065
Keywords
- Integrated diffusion process
- local linear estimator
- M-estimation
- robust estimation.
MSC
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