Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model

DOI10.1007/S11009-019-09696-7MaRDI QIDQ2176391zbMATH OpenOpenAlexFDO

Authors Weijie Hou, Guang Yang, Yu Ping Song

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09696-7

zbMATH Keywords

asymptotic normalitybias and variance reductiondiffusion modelsnonstationary high frequency financial datavolatility function

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Fully Nonparametric Estimation of Scalar Diffusion Models
• Estimation of diffusion parameters in diffusion processes and their asymptotic normality
• Efficient estimation for diffusions sampled at high frequency over a fixed time interval
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Asymptotic normality of composite quantile regression estimation for diffusion models

Cites work

• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Fully Nonparametric Estimation of Scalar Diffusion Models
• scientific article; zbMATH DE number 3651578 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• Nonparametric Pricing of Interest Rate Derivative Securities
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• On estimating the diffusion coefficient from discrete observations
• On the functional estimation of multivariate diffusion processes
• Reweighted functional estimation of diffusion models
• The pricing of options and corporate liabilities

Cited in

(2)

• Asymptotics for recurrent diffusions with application to high frequency regression
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

This page was built for publication: Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2176391)