Re-weighted functional estimation of second-order diffusion processes

DOI10.1007/s00184-011-0372-6zbMath1254.62090MaRDI QIDQ1928377

Mingtian Tang, Yunyan Wang, Zhang, Lixin

Publication date: 3 January 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-011-0372-6

zbMATH Keywords

consistency; asymptotic normality; empirical likelihood; re-weighted estimator

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models

Related Items

Local M-estimation for Conditional Variance in Heteroscedastic Regression Models, Reweighted Nadaraya-Watson estimation of conditional density function in the right-censored model, Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns, Local Linear Estimation of Second-order Jump-diffusion Model

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