Reweighted Nadaraya-Watson estimation of jump-diffusion models

查看全文 作　　者：HANIF [1]Muhammad;WANG [1]HanChao;LIN [1]ZhengYan

机构地区：[1]Department of Mathematics,Zhejiang University

出　　处：《Science China Mathematics》索引2012年第55卷第5期,共12页

基　　金：supported by National Natural Science Foundation of China (Grant Nos.10871177,11071213);Research Fund for the Doctor Program of Higher Education of China (Grant No.20090101110020) 摘　　要：In this paper,we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model.We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function. 关键词：非参数估计扩散模型加权跳跃渐近正态性时间模型功能使用一致性

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Reweighted Nadaraya-Watson estimation of jump-diffusion models

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