Local polynomial estimations of time-varying coefficients for local stationary diffusion models

Journal of inequalities and applications

Jixia Wang¹ 

关键词: local stationary model;    local polynomial fitting;    consistency;    asymptotic normality;    convergence rate;   

DOI  :  10.1186/1029-242X-2014-17

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

This paper is dedicated to the study of local polynomial estimations of time-varying coefficients for a local stationary diffusion model. Based on local polynomial fitting, the estimations of drift parametric functions are obtained by using local weighted least squares method. By applying the forward Kolmogorov equation, the estimation of the diffusion coefficient is proposed. The consistency, asymptotic normality and uniform convergence of the estimations that we proposed are established.

【 授权许可】

CC BY