Publicação
Nonparametric estimation of second-order stochastic differential equations
| Resumo: | We propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations. We show that under appropriate conditions, the proposed estimators are consistent. Also, we state conditions ensuring the asymptotic normality of these estimators. We conclude our pa with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization. |
|---|---|
| Autores principais: | Nicolau, João |
| Assunto: | Nonparametric Estimators Stochastic Differential Equations |
| Ano: | 2007 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | We propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations. We show that under appropriate conditions, the proposed estimators are consistent. Also, we state conditions ensuring the asymptotic normality of these estimators. We conclude our pa with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization. |
|---|