Local polynomial estimation of time-dependent diffusion parameter for discretely observed SDE models

DOI10.2298/FIL1404871WMaRDI QIDQ2975527zbMATH OpenOpenAlexFDO

Authors Jixia Wang, Qingxian Xiao

Publication date 11 April 2017

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/fil1404871w

zbMATH Keywords

asymptotic normalitydiffusion modelkernel weightedlocal polynomial estimationtime-dependent parameter

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

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